policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm … relations of future stock returns with market-to-book, investment and disinvestment rates, seasoned equity offerings, tender …

, potentially spurring productive investment. Low interest rates, however, also induce entrepreneurs to lever up so as to increase … their incentives thereby lowering productivity and discouraging investment. If leverage is unregulated (for example, due to … payouts by stimulating investment in response to adverse shocks only up to a level below the first-best. The optimal monetary …

firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … CAPM to price portfolio returns of firms sorted on characteristics; iv) the time-series predictability of market portfolio … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …

We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM-betas and project returns. Our findings justify the …

This paper tests a factor pricing model for stock returns. The factors are returns on physical investment, inferred … from investment data via a production function. The tests examine the model's ability to explain the variation in expected … returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll and …

quarters of the variation in real annual aggregate investment growth between 1948 and 1993. The negative correlation of … contemporaneous investment and stock returns is explained by the negative correlation of planned investment and subsequent stock … returns. Unexpected revisions to aggregate investment (actual minus plan) within a year are essentially unrelated to current …

This paper models the effect of disclosure on real investment. We show that, even if the act of disclosure is costless … cutting investment. Investment depends on asset pricing variables such as investors' liquidity shocks; disclosure depends (non … optimal to induce investment, the manager may be unable to commit to it. If hard information turns out to be good, he will …