Aggregate investment and its consequences

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Abstract/Contents

Abstract: 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

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

License: This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).

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