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 … suggest that the predictive ability of aggregate expected investment growth is more likely to be driven by the time …

A bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG) can negatively …-varying risk premium. These findings lend support to neoclassical models with investment lags …

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 … suggest that the predictive ability of aggregate expected investment growth is more likely to be driven by the time …

of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …