Autoregressive Modeling of Earnings‐Investment Causality
实证检验企业收益与投资之间的因果关系，发现过去收益和投资的联合信息能更好预测未来投资，但对预测未来收益无帮助。
ABSTRACT The purpose of this paper is to empirically test the relationships between corporate earnings and investment. In particular, the study investigates whether knowledge of past investments improves the prediction of future earnings beyond predictions that are based on past earnings alone. Similarly, it investigates whether knowledge of past earnings improves the prediction of future investments beyond knowledge of past investments alone. This is the empirical definition of Granger causality. The empirical results show that the bivariate past series of earnings and investments is superior to the univariate series in predicting future investments but not in predicting future earnings.