superior investment return predictability. Quality firms as selected by our strategy generate substantially superior returns …

in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry … when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value … aggregate market returns and consumption growth. Without an investment factor, uncertainty betas explain cross …

We propose abnormal fourth quarter capital expenditures as a proxy for managerial agency conflicts in investment … performance of the resulting zero-investment portfolio closely resembles the investment factor, which has become part of standard … the reported effect. Our analysis provides new evidence in support of an agency interpretation for the investment factor …

histories of each firm and study performance measures at the transaction and investment levels. Many investments result in total … differing returns even in the same investment. This arises not just because they invest on different terms, but because they … indicative of the market frictions associated with early-stage investment in innovation …

portfolios -shaped according to lagged jump returns- incurs 0.8% of risk-adjusted loss in 1-month investment horizon. Together …

The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices … signals about the profitability of the new investment opportunities, and vice versa. In this paper, we study how such …

conditioning on institutions' investment horizon. Prior literature establishes a positive link between growing institutional …