Conditional Equity Premium and Aggregate Corporate Investment

被引：0

作者：

Guo, Hui ^{[1
]}

Qiu, Buhui ^{[2
]}

机构：

[1] Univ Cincinnati, Dept Finance, Carl H Lindner Coll Business, Cincinnati, OH 45221 USA

[2] Univ Sydney, Business Sch, Sydney, NSW, Australia

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2023年 / 55卷 / 01期

关键词：

aggregate corporate investment; return on assets; aggregate corporate profitability; conditional equity premium; market variance; aggregate idiosyncratic variance; Tobin's q; investor sentiment; investment-based asset pricing model; multifactor asset pricing models; STOCK-MARKET; CROSS-SECTION; ASSET GROWTH; RISK; RETURNS; SENTIMENT; PRICES; EXPECTATIONS; CONSTRAINTS; UNCERTAINTY;

D O I：

10.1111/jmcb.12910

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We document a strong negative relation between aggregate corporate investment and conditional equity premium estimated from direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with conditional equity premium fully accounts for aggregate investment's market return predictive power. Similarly, conditional equity premium is a significant determinant of classic Tobin's q measure, although q has much weaker explanatory power for aggregate investment possibly because of its measurement errors. Moreover, the positive relation between aggregate investment and investor sentiment documented in previous studies reflects the fact that both variables correlate closely with conditional equity premium.

引用

页码：251 / 295

页数：45

共 50 条

[21] Corporate equity ownership, investment, and product market relationships
Clayton, Matthew J.
Jorgensen, Bjorn N.
[J]. JOURNAL OF CORPORATE FINANCE, 2011, 17 (05) : 1377 - 1388
[22] The equity premium
Fama, EF
French, KR
[J]. JOURNAL OF FINANCE, 2002, 57 (02): : 637 - 659
[23] Aggregate implied cost of capital, option-implied information and equity premium predictability
Launhardt, Patrick
Miebs, Felix
[J]. FINANCE RESEARCH LETTERS, 2020, 35
[24] CORPORATE-INVESTMENT - DOES MARKET VALUATION MATTER IN AGGREGATE
FURSTENBERG, GMV
[J]. BROOKINGS PAPERS ON ECONOMIC ACTIVITY, 1977, (02) : 347 - 408
[25] Multifactor conditional equity premium model: Evidence from China's stock market
Cheng, Hang
Guo, Hui
Shi, Yongdong
[J]. JOURNAL OF BANKING & FINANCE, 2024, 161
[26] Does asset redeployability affect corporate investment and equity value?
Rong, Yuen
Tian, Cunzhi
Li, Lifang
Zheng, Xinwei
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2020, 70 : 479 - 492
[27] The effect of corporate investment on market frictions: implication for the stock price delay premium
Kang, Moonsoo
[J]. APPLIED ECONOMICS LETTERS, 2024, 31 (10) : 940 - 947
[28] Equity premium puzzle
Johnson, CH
[J]. JOURNAL OF ECONOMIC PERSPECTIVES, 1997, 11 (04): : 233 - 234
[29] THE EQUITY PREMIUM - A PUZZLE
MEHRA, R
PRESCOTT, EC
[J]. JOURNAL OF MONETARY ECONOMICS, 1985, 15 (02) : 145 - 161
[30] Estimating the Equity Premium
Donaldson, R. Glen
Kamstra, Mark J.
Kramer, Lisa A.
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2010, 45 (04) : 813 - 846

← 1 2 3 4 5 →