Investment Plans and Stock Returns

49 Pages Posted: 11 Feb 1999

See all articles by Owen A. Lamont

Owen A. Lamont

Harvard University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: November 1999

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 Classification: E22, E44, G12, G31

Suggested Citation

Lamont, Owen A., Investment Plans and Stock Returns (November 1999). CRSP Working Paper No. 488. Available at SSRN: https://ssrn.com/abstract=148630 or http://dx.doi.org/10.2139/ssrn.148630

Owen A. Lamont (Contact Author)

Harvard University - Department of Economics ( email )

Littauer Center
Cambridge, MA 02138
United States

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