Connecting Optimal Capital Investment and Equity Returns
通过修改企业生产函数加入投资决策与支出的时滞，并校正时间加总问题，发现投资增长与股票收益的同期相关性在数据中显著存在，且31个行业的投资回报与行业股票组合收益高度相关。
Economic theory predicts a contemporaneous correlation between equity returns and investment growth that is only weakly present in the data. By modifying the firm's production function to include a lag between investment decisions and expenditures, and after correcting for the temporal aggregation of investment, I find the predicted correlation to be present in the data. I estimate the model for 31 industries and find that investment returns are highly correlated with the industry portfolio equity returns. Further, the portion of investment returns orthogonal to equity returns is associated positively with changes in profitability and negatively with lagged differences between equity and investment returns.