Consistent with neoclassical models with investment lags, Jianfeng Yu finds that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG), negatively predicts future stock market returns. The return predictive power is robust after controlling for popular macroeconomic return predictors in subsample periods, as well as in other G7 countries. Further analyses suggest that the predictive ability of AEIG is more likely to be driven by the time-varying risk premium than by behavioral biases such as extrapolative expectations.
ABOUT THE SPEAKER
Jianfeng Yu is Jianshu Chair Professor of Finance, PBC School of Finance, Tsinghua University. He obtained his MA from Yale University and his PhD in Finance from University of Pennsylvania. He has published more than a dozen of papers in top journals such as American Economic Review, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, Review of Financial Economics, and Management Science.
To promote discussion on the relationships between investments and the stock market.
About 30 participants.
Better understanding of the relationships between investments and the stock market.
How to register
Time of event
16:00 - 17:30Stay up to date Subscribe to our newsletter and get the latest issues, news, events, jobs and data in your e-mail inbox.