The Stock Market and Investment
发现美国股价变动对投资有显著解释力，优于标准q变量，并探讨了加拿大投资对美国股市的异常反应。
Changes in stock prices have substantial explanatory power for U.S. investment, especially for longterm samples, and even in the presence of cash flow variables. The stock market dramatically outperforms a standard q-variable because the market-equity component of this variable is only a rough proxy for stock market value. Although the stock market did not predict accurately after the crash of October 1987, the errors were not statistically significant. Parallel relationships for Canada raise the puzzle that Canadian investment appears to react more to the U.S. stock market than to the Canadian market. A literature initiated by Tobin (1969) relates investment to q, which is the ratio of the market’s valuation of capital to the cost of acquiring new capital. An increase in the prospective return on capital or a decrease in the market’s discount rate raises q and thereby increases investment. With a simple form of adjustment cost for changing the capital stock, the optimal amount of current investment depends only on the current value of q. But more generally-for example, with a time-to-build technology for the capital stock-current investment depends on current and lagged values of q [see Hayashi (1982) and Abel