Investment Plans and Stock Returns

By O. Lamont. 2000

321 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/078eb540ad581e0efa848ff060ace96c69133de7

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Citations in the corpus

Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment (2002, unknown): “Lamont (2000) argues that these lags can temporarily shift the negative covariance between expected returns and investment implied by (6), and he finds evidence to support this hypothesis using survey data on investment plans.”
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns (2006, unknown): “Therefore, IV should be negatively related to future investments, especially over a relative long horizon because of the lag between investment plans and investment expenditures documented by Lamont (2000). Table 10 reports the estimation results of forecasting aggregate business”
Takeovers and the Cross-Section of Returns (2009, methodology): “This central intuition is independent of the asset pricing model chosen, as long as the model captures time variation in the risk premium, either through conditioning variables (as in a conditional CAPM (Lettau and Ludvigson, 2001)) or through the addition of new state variables (as in Merton(1973) ”
Financial Reporting Quality and Investment Efficiency (2006, unknown): “…positively correlated with return volatility and Q (the magnitude of the the investment model to capture growth opportunities not reflected in Q (Lamont, 2000; Richardson, 2006); and second, I exclude all industry-year observations in which the estimated coefficient on Q is not positive and…”
Capital Allocation and Timely Accounting Recognition of Economic Losses (2011, background): “For example, Lamont (2000) controls for changes in the profitability of the firm and lagged investment growth rates, and Lang et al. (1996) document a negative relation between investment growth and leverage.”
Capital Investments and Stock Returns (2003, background): “Lamont (2000) examined this hypothesis using aggregate nonresidential U.S. investment data and found support for this hypothesis. More recently, Baker, Stein, and Wurgler (2002) explore the hypothesis that the degree to which a firm is over- or undervalued affects investment choices. While this poss”
Manager sentiment and stock returns (2019, background): “…analyses, we find evidence of overinvestment following high manager sentiment at the firm level as well. of adjusting investments prevent firms from immediately changing investment which might cause actual investment to be negatively correlated with returns (Lamont, 2000; Li, Wang, and Yu, 2017).”
Go Down Fighting: Short Sellers vs. Firms (2012, background): “However, it is usually difficult to discriminate between the hypothesis that firms are responding to rational changes in discount rates as opposed to over- or under-pricing (see for example Lamont (2000), Polk and Sapienza (2004)).”
Do Stock Prices Influence Corporate Decisions? Evidence from the Technology Bubble (2013, unknown): “Subsequent studies by Morck et al. (1990), Barro (1990), Blanchard et al. (1993), Galeotti and Schiantarelli (1994), Chirinko and Schaller (1996), and Lamont (2000), among others, test the idea that stock market uctuations a¤ect rm investment over and above fundamentals.”
Asset Price Shocks, Financial Constraints, and Investment: Evidence from Japan (2001, background): “Kashyap, Anil K., Jeremy C. Stein, and David W. Wilcox, 1993, Monetary policy and credit conditions: Evidence from the composition of external finance, American Economic Review 83, 78-98.”
Investment‐Based Expected Stock Returns (2009, background): “Investment lags (lags between the decision to invest and the actual investment expenditure) can temporally shift the correlations between investment growth and stock returns (e.g., Lamont (2000)).”
Empirical Evidence on Capital Investment, Growth Options, and Security Returns (2006, background): “For example, recent studies report that anomalies such as the "new issues puzzle" attenuate when benchmarks incorporate MVE and B/M (Brav, Geczy, and Gompers, 2000).”