Investment Plans and Stock Returns
发现美国总体非住宅投资与股票回报的关系与理论预期矛盾，但企业投资计划数据却符合理论，且能解释实际投资增长的大部分变化，并对超额股票回报有预测能力。
When the discount rate falls, investment should rise. Thus with time‐varying discount rates and instantly changing investment, investment should positively covary with current stock returns and negatively covary with future stock returns. Aggregate nonresidential U.S. investment contradicts both these implications, probably because of investment lags. Investment plans, however, satisfy both implications. These investment plans, from a U.S. government survey of firms, are highly informative measures of expected investment and explain more than three‐quarters of the variation in real annual aggregate investment growth. Plans have substantial forecasting power for excess stock returns, showing that time‐varying risk premia affect investment.