Show simple item record

Aggregate Expected Investment Growth and Stock Market Returns

dc.contributor.authorJun Li
dc.contributor.authorHuijun Wang
dc.contributor.authorJianfeng Yu
dc.date.accessioned2018-03-05T19:53:09Z
dc.date.available2018-03-05T19:53:09Z
dc.date.issued2018-02-28
dc.identifier.urihttp://hdl.handle.net/11540/7907
dc.description.abstractConsistent with neoclassical models with investment lags, we nd that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG), negatively predicts future stock market returns, with an adjusted in-sample R2 of 18.5% and an out-of-sample R2 of 16.3% at the one-year horizon. The return predictive power is robust after controlling for popular macroeconomic return predictors, in subsample periods, as well as in other G7 countries. Further analyses suggest that the predictive ability of AEIG is more likely to be driven by the time-varying risk premium than by behavioral biases such as extrapolative expectations.
dc.languageEnglish
dc.publisherAsian Development Bank Institute
dc.titleAggregate Expected Investment Growth and Stock Market Returns
dc.typeWorking Papers
dc.subject.expertADB
dc.subject.expertProject finance
dc.subject.expertDevelopment plans
dc.subject.expertStrategic planning
dc.subject.expertBusiness Financing
dc.subject.expertInvestment Requirements
dc.subject.expertInsurance Companies
dc.subject.expertInternational Monetary Relations
dc.subject.expertInternational Financial Market
dc.subject.expertExchange Rate
dc.subject.adbDevelopment
dc.subject.adbFinance
dc.subject.adbDevelopment Challenges
dc.subject.adbDevelopment Issues
dc.subject.adbDevelopment Problems
dc.subject.adbMicroenterprises Finance
dc.subject.adbCommercial Finance Companies
dc.subject.adbEnterprise Financing
dc.subject.adbFinancial Analysis
dc.subject.adbBanking Finance And Investment
dc.subject.naturalInsurers
dc.subject.naturalInsurance stocks
dc.subject.naturalInsurance holding companies
dc.subject.naturalInsurance carriers
dc.subject.naturalInsurance agencies
dc.subject.naturalBusiness subsidies
dc.subject.naturalInvestment companies
dc.subject.naturalInternational banks and banking
dc.subject.naturalStock exchanges
dc.subject.naturalGrants
dc.subject.naturalLoans
dc.subject.naturalInterest Rates
dc.title.seriesADBI Working Paper Series
dc.title.volumeNo. 808
dc.contributor.imprintAsian Development Bank Institute
oar.themeDevelopment
oar.themeFinance
oar.adminregionAsia and the Pacific Region
oar.countryBangladesh
oar.countryBhutan
oar.countryIndia
oar.countryMaldives
oar.countryNepal
oar.countrySri Lanka
oar.countryBrunei Darussalam
oar.countryCambodia
oar.countryIndonesia
oar.countryLao People's Democratic
oar.countryMalaysia
oar.countryMyanmar
oar.countryPhilippines
oar.countrySingapore
oar.countryThailand
oar.countryViet Nam
oar.countryCook Islands
oar.countryFiji Islands
oar.countryKiribati
oar.countryMarshall Islands
oar.countryFederated States of Micronesia
oar.countryNauru
oar.countryPalau
oar.countryPapua New Guinea
oar.countrySamoa
oar.countrySolomon Islands
oar.countryTimor-Leste
oar.countryTonga
oar.countryTuvalu
oar.countryVanuatu
oar.countryAfghanistan
oar.countryArmenia
oar.countryAzerbaijan
oar.countryGeorgia
oar.countryKazakhstan
oar.countryKyrgyz Republic
oar.countryPakistan
oar.countryTajikistan
oar.countryTurkmenistan
oar.countryUzbekistan
oar.countryPeople's Republic of China
oar.countryHong Kong
oar.countryChina
oar.countryRepublic of Korea
oar.countryMongolia
oar.countryTaipei,China
oar.identifierOAR-007502
oar.authorLi, Jun
oar.authorWang, Huijun
oar.authorYu, Jianfeng
oar.importTRUE
oar.googlescholar.linkpresenttrue


Files in this item

Thumbnail

This item appears in the following Collection(s)

  • ADBI Working Papers
    The Asian Development Bank Institute (ADBI) Working Paper series is a continuation of the formerly named Discussion Paper series which began in January 2003. The numbering of the papers continued without interruption or change. ADBI was established in 1997 in Tokyo, Japan, to help build capacity, skills, and knowledge related to poverty reduction and other areas that support long-term growth and competitiveness in developing economies in Asia and the Pacific.

Show simple item record