Investment Plans and Stock Returns

32 Pages Posted: 30 Apr 2000 Last revised: 12 Oct 2010

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: February 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.

Suggested Citation

Lamont, Owen A., Investment Plans and Stock Returns (February 1999). NBER Working Paper No. w6973. Available at SSRN: https://ssrn.com/abstract=214392

Owen A. Lamont (Contact Author)

Harvard University - Department of Economics ( email )

Littauer Center
Cambridge, MA 02138
United States

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