Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth, 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...

A bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG) can negatively predict market returns. At the one-year horizon, the adjusted in-sample R-square is 18.2% and the out-of-sample R-square is 14.4%. The return predictive power is robust after...

Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth, 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...

High rates of government investment in public sector capital forecast high risk premiums both at the aggregate and firm-level. This result is in sharp contrast with the well-documented negative relationship between the private sector investment rate and risk premiums. To explain the empirical...

Similarity between two stocks is measured by the distance between their characteristics such as price, size, book-to-market, return on assets, and investment-to-assets. We find that after a stock's most similar stocks have experienced high (low) returns in the past month, this focal stock tends...

Using comprehensive patent lawsuit data from 2000 to 2014, we find that a stock portfolio consisting of firms involved in patent lawsuits provides significantly positive stock returns (between 0.56% to 1.02% per month) in the following year. We propose and examine several possible explanations...

We find that the weather induced local employment growth surprises are positively related to the cross section of future local stock returns for up to three months without subsequent reversals. In comparison, neither weather nor reported employment growth can predict future returns. This return...