returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average … levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios … sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return …

returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average … levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios … sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return …

I use financial statement information to examine intertemporal investment decisions by publicly traded firms at the … aggregate level. I find that aggregate corporate investment negatively predicts aggregate returns in the US and abroad … aggregate investment forecasts lower aggregate profitability, lower earnings announcement returns, a widening of the ‘value …

I use financial statement information to examine intertemporal investment decisions by publicly traded firms at the … aggregate level. I find that aggregate corporate investment negatively predicts aggregate returns in the US and abroad … aggregate investment forecasts lower aggregate profitability, lower earnings announcement returns, a widening of the ‘value …

portfolios and investment frictions generate a mean-reverting dynamics of Tobin's q consistent with the probabilities of …

portfolios and investment frictions generate a mean-reverting dynamics of Tobin's q consistent with the probabilities of …

The neoclassical investment model matches cross-sectional asset prices both in first differences and in levels. With … ten book-to-market deciles as the testing portfolios, the investment model largely matches the Tobin's Q spread, while … the first moment to mitigate the impact of temporal misalignment between asset prices and investment; and (iii) we allow …

The neoclassical investment model matches cross-sectional asset prices both in first differences and in levels. With … ten book-to-market deciles as the testing portfolios, the investment model largely matches the Tobin's Q spread, while … the first moment to mitigate the impact of temporal misalignment between asset prices and investment; and (iii) we allow …