Investment Plans and Stock Returns

Owen Lamont

No 6973, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Capital expenditure plans at the beginning of the year, from a US government survey of firms, explain more than three 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 stock returns, and positively related to current profits. Revisions to industry investment are positively related to industry-specific stock returns and to aggregate profits.

JEL-codes: E22 E44 (search for similar items in EconPapers)
Date: 1999-02
New Economics Papers: this item is included in nep-cfn and nep-fmk
Note: EFG
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Citations: View citations in EconPapers (1)

Published as Lamont, Owen A. "Investment Plans And Stock Returns," Journal of Finance, 2000, v55(6,Dec), 2719-2745.

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