Aggregate investment and its consequences

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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 stock market returns in the US and in a number of foreign countries. Corporations invest more when: (i) investor sentiment is higher; (ii) the yield curve is flatter; and (iii) analysts are more optimistic about future earnings. Moreover, higher aggregate investment forecasts: (i) lower aggregate ROA; (ii) lower short-window returns around earnings announcements; (iii) lower returns on growth stocks and a widening of the 'value premium'; and (iv) deteriorating macroeconomic growth and a higher risk of recession. Several dimensions of these findings are difficult to reconcile in an efficient framework and suggest that inefficient investment plays a role in driving prices and fundamentals at the aggregate level.


Type of resource text
Form electronic; electronic resource; remote
Extent 1 online resource.
Publication date 2011
Issuance monographic
Language English


Associated with Arif, Salman, Mr
Associated with Stanford University, Graduate School of Business.
Primary advisor Lee, Charles
Primary advisor Piotroski, Joseph D. (Joseph David)
Thesis advisor Lee, Charles
Thesis advisor Piotroski, Joseph D. (Joseph David)
Thesis advisor Barth, Mary E
Advisor Barth, Mary E


Genre Theses

Bibliographic information

Statement of responsibility Salman Arif.
Note Submitted to the Graduate School of Business.
Thesis Thesis (Ph.D.)--Stanford University, 2011.
Location electronic resource

Access conditions

© 2011 by Salman Arif
This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).

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