returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …

returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …

In this paper we investigate the analytical and empirical linkages between firms' capital investment behavior and …-based risk measure. We employ a panel of U.S. manufacturing firm data obtained from COMPUSTAT over the 19842003 period. Financial … significant negative impact on firms' investment spending, while extrinsic uncertainty has a positive impact. …

In a neoclassical investment model, returns and investment are linked. We show that the timing of investment and … returns are also linked. Conditional on total investment, firms investing earlier in the year have lower returns than firms …, regressing returns on annual investment year produces a much weaker relationship between returns and investment than regressing …

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 …