Conditional Equity Premium and Aggregate Corporate Investment
研究发现总体企业投资与基于直接股票市场风险度量的条件股权溢价之间存在强负相关关系，且条件股权溢价完全解释了总体投资对市场收益的预测能力，同时是经典托宾q的重要决定因素。
Abstract We document a strong negative relation between aggregate corporate investment and conditional equity premium estimated from direct stock market risk measures. Consistent with the investment‐based asset pricing model, the comovement with conditional equity premium fully accounts for aggregate investment's market return predictive power. Similarly, conditional equity premium is a significant determinant of classic Tobin's q measure, although q has much weaker explanatory power for aggregate investment possibly because of its measurement errors. Moreover, the positive relation between aggregate investment and investor sentiment documented in previous studies reflects the fact that both variables correlate closely with conditional equity premium.