Aggregate Investment and Investor Sentiment
利用公司财务数据，研究发现总体投资在投资者情绪高涨时达到峰值，但随后股市回报走低，且该模式在发达国家普遍存在，表明总体投资可作为衡量市场情绪的替代指标。
Using bottom-up information from corporate financial statements, we examine the relation between aggregate investment, future equity returns, and investor sentiment. Consistent with the business cycle literature, corporate investments peak during periods of positive sentiment, yet these periods are followed by lower equity returns. This pattern exists in most developed countries and survives controls for discount rates, equity flows, valuation multiples, operating accruals, and other investor sentiment measures. Higher aggregate investments also precede greater earnings disappointments, lower short-window earnings announcement returns, and lower macroeconomic growth. We conclude aggregate corporate investment is an alternative, and possibly sharper, measure of market-wide investor sentiment.