Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10127699 | Economics Letters | 2018 | 16 Pages |
Abstract
In this paper, we show that the relation between expected investment and future stock returns (i.e., the expected investment-return relation) is negative and inconsistent with the multiperiod q theory. Further analysis reveals that the expected investment change measure of Hou et al. (2018a) is a poor proxy for future investment because of the mismatch of investment characteristics and the incorrect constraint imposed on the regression.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Qi Lin, Xi Lin,