The Impact of Country Governance on the Relation between Capital Investment and Future Stock Returns: An Empirical Analysis for OECD Countries
碩士 === 國立高雄第一科技大學 === 金融系碩士班 === 106 === A phenomenon about the negative relation between investment growth and subsequent stock returns in firm level is often referred to as the investment effect. One of the most important reasons for the negative investment-return relation is due to corporate over...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/w6m22z |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融系碩士班 === 106 === A phenomenon about the negative relation between investment growth and subsequent stock returns in firm level is often referred to as the investment effect. One of the most important reasons for the negative investment-return relation is due to corporate overinvestment tendencies. This paper explores the investment effect in the country level and the influence of country governance on the investment effect from 32 OECD countries over 1996 to 2015. The results show that the stock market returns have both leading and contemporaneous impact on the investment growth rate. Our findings also indicate that there is a negative relation between investment growth and subsequent stock market returns and the relation is stronger among countries with poor governance.
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