Investment plans and expected returns: insights from the life-cycle theory
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Tese |
Idioma: | eng |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UFPB |
Texto Completo: | https://repositorio.ufpb.br/jspui/handle/123456789/22517 |
Resumo: | This thesis aim to analyze how the expected investment growth, a measure of investment plans, relates to future returns at different life-cycle stages. In order to facilitate the achievement of this aim, I divide it into three studies. The first study (Chapter 1 of Part II) propose a novel measure of investment plans in the firm-level by using an approach based on text data and supervised machine learning. By combining the procedure of Han et al. (2020) with the idea of flexible dictionary of Lima, Godeiro and Mohsin (2020), I test a novel measure of investment plans based on text data from Management Discussion and Analysis disclosure in 10-K filings. In this study, the sample includes all US publicly traded firms in the period between January 1995 and December 2019. I build a unique dataset by merging information from multiple data sources. The annual firm-level financial and accounting data, I obtain from Compustat. The firms’ 10-K filings are from the SEC Edgar database and the monthly US stock returns from the Center for Research in Security Prices (CRSP). The main find of this chapter is that words matter to predict firm fundamentals, and can produce a more accurate measure of investment plans based only on public information at the time of the forecast by including data from MD&A. The second study (Chapter 2 of Part II) incorporate the life-cycle concept to contribute to our understand about the relation between investment plans and stock returns. The financial and accounting data I obtain from the merged CRSP and COMPUSTAT database. The financial firms, firms with negative book equity and, utility firms are excluded from the sample in this study. The period is between of 1962 and 2018 including only firms with CRSP share codes 10 and 11, that refer to ordinary common shares with no special status. The empirical results shows evidence against the assumptions of 1, which predicts that firms will decrease their investment plans as they become more mature. In opposite, the results, which may be a result of find a extrapolative expectations of the growth firms managers (GENNAIOLI; MA; SHLEIFER, 2016), since mature firms have smaller investment plans on average, but also smaller standard deviation. Despite the opposite evidence on 1, the results is in line others assumptions as proxies for life cycle can improve out-of-sample prediction of investment plans 1, the EIG premium of growth firms seems to be stronger than EIG premium of mature firms 2, and a portion of the EIG premium is explained by investor sentiment 2. Finally, in the third study (Chapter 3 of Part II) examine the role of life-cycle firms and market development in the relationship between a country’s aggregate investment plans and the wide stock market return by conducting an empirical research expanding actual evidence to international stock markets. For this study I perform individual time-series tests for each country, to analyze in which countries the effect is most likely to occur. The the international monthly stock data are from the Thomson Reuters Datastream, and accounting data are from the Worldscope database. The analyzed period varies from country to country and depends on data availability. The main results of this research is that the expected growth predictability is not exclusive to U.S market, and in emerging markets seems to be stronger, which imply that the rational risk explanation is not the most part of the predictability power of the aggregate expected growth investment. |
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Investment plans and expected returns: insights from the life-cycle theoryPlanos de investimentoCrescimento esperado do investimentoPrevisão em cross-sectionCiclo de vida das empresasRetorno acionárioInvestment plansExpected investment growthCross-section forecastFirm life-cycleStock returnsCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOThis thesis aim to analyze how the expected investment growth, a measure of investment plans, relates to future returns at different life-cycle stages. In order to facilitate the achievement of this aim, I divide it into three studies. The first study (Chapter 1 of Part II) propose a novel measure of investment plans in the firm-level by using an approach based on text data and supervised machine learning. By combining the procedure of Han et al. (2020) with the idea of flexible dictionary of Lima, Godeiro and Mohsin (2020), I test a novel measure of investment plans based on text data from Management Discussion and Analysis disclosure in 10-K filings. In this study, the sample includes all US publicly traded firms in the period between January 1995 and December 2019. I build a unique dataset by merging information from multiple data sources. The annual firm-level financial and accounting data, I obtain from Compustat. The firms’ 10-K filings are from the SEC Edgar database and the monthly US stock returns from the Center for Research in Security Prices (CRSP). The main find of this chapter is that words matter to predict firm fundamentals, and can produce a more accurate measure of investment plans based only on public information at the time of the forecast by including data from MD&A. The second study (Chapter 2 of Part II) incorporate the life-cycle concept to contribute to our understand about the relation between investment plans and stock returns. The financial and accounting data I obtain from the merged CRSP and COMPUSTAT database. The financial firms, firms with negative book equity and, utility firms are excluded from the sample in this study. The period is between of 1962 and 2018 including only firms with CRSP share codes 10 and 11, that refer to ordinary common shares with no special status. The empirical results shows evidence against the assumptions of 1, which predicts that firms will decrease their investment plans as they become more mature. In opposite, the results, which may be a result of find a extrapolative expectations of the growth firms managers (GENNAIOLI; MA; SHLEIFER, 2016), since mature firms have smaller investment plans on average, but also smaller standard deviation. Despite the opposite evidence on 1, the results is in line others assumptions as proxies for life cycle can improve out-of-sample prediction of investment plans 1, the EIG premium of growth firms seems to be stronger than EIG premium of mature firms 2, and a portion of the EIG premium is explained by investor sentiment 2. Finally, in the third study (Chapter 3 of Part II) examine the role of life-cycle firms and market development in the relationship between a country’s aggregate investment plans and the wide stock market return by conducting an empirical research expanding actual evidence to international stock markets. For this study I perform individual time-series tests for each country, to analyze in which countries the effect is most likely to occur. The the international monthly stock data are from the Thomson Reuters Datastream, and accounting data are from the Worldscope database. The analyzed period varies from country to country and depends on data availability. The main results of this research is that the expected growth predictability is not exclusive to U.S market, and in emerging markets seems to be stronger, which imply that the rational risk explanation is not the most part of the predictability power of the aggregate expected growth investment.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPESEsta tese tem como objetivo analisar como o Expected Investment Growth (EIG), uma medida dos planos de investimento, se relaciona com os retornos futuros em diferentes estágios do ciclo de vida. Para facilitar o alcance desse objetivo, a pesquisa está dividida em três estudos. O primeiro estudo (Capítulo 1 da Parte II) propõe uma nova medida de planos de investimento, no nível da firma, combinando o procedimento de Han et al. (2020) com a ideia de dicionário flexível de Lima, Godeiro and Mohsin (2020). A medida é estimada com base em dados de texto da MD&A contidos nos relatórios 10-K. Neste estudo, a amostra inclui todas as empresas americanas de capital aberto no período entre janeiro de 1995 e dezembro de 2019. Os dados são extraídos de diferentes bases, dados financeiros e contábeis anuais são extraídos da COMPUSTAT, os relatórios 10-K são extraídos da SEC EDGAR e os retornos mensais das ações dos EUA do Center for Research in Security Prices (CRSP). A principal conclusão do capítulo é que as palavras importam para prever os fundamentos da empresa, o no caso dos planos de investimento o método usado pode produzir previsões melhores com base apenas em informações públicas no momento da previsão, incluindo dados do MD&A. O segundo estudo (Capítulo 2 da Parte II) incorpora o conceito de ciclo de vida como forma de contribuir com o nosso entendimento sobre a relação entre planos de investimento e retornos acionário. Os dados financeiros e contábeis são extraídos das bases CRSP e COMPUSTAT. Empresas com patrimônio líquido negativo e empresas de utilidade pública foram excluídas da amostra deste estudo. O período é de 1962 a 2018. Os resultados empíricos não confirmam a (1), que prevê que as empresas diminuirão seus planos de investimento à medida que amadurecem. Por outro lado, os resultados parecem levar a uma conclusão de que há uma extrapolação das expectativas dos gestores de empresas não-maduras, ampliando o que foi documentado por Gennaioli, Ma and Shleifer (2016). Apesar dos resultados contrários em (1), as evidências estão alinhados com as demais hipóteses, uma vez que as proxies para o ciclo de vida parecem melhorar a previsão fora da amostra de planos de investimento (1), o prêmio EIG de empresas em crescimento parece ser mais forte do que o prêmio EIG de empresas maduras (2) e uma parte considerável do prêmio EIG pode ser explicada pelo sentimento do investidor (2). Finalmente, o terceiro estudo (Capítulo 3 da Parte II), examina o papel das ciclo de vida e do nível de desenvolvimento do mercado acionário na relação entre os planos de investimento agregado e retorno do mercado, conduzindo uma pesquisa empírica que expande as evidências atuais para o mercado internacional. Neste estudo, é realizado testes em séries temporais individuais para cada país com o intuito de analisar em quais países o efeito é mais provável de ocorrer. Os dados de retorno acionário mensais internacionais são do Thomson Reuters Datastream e os dados contábeis são do banco de dados Worldscope. O período analisado varia de país para país e depende da disponibilidade de dados. Os principais resultados desta pesquisa é que a capacidade preditiva do EIG agregado não é exclusiva do mercado dos EUA, e nos mercados emergentes parece ser ainda mais forte, o que é um indício de que o fundamento racional do risco parece não ser a maior parte do poder preditivo do EIG.Universidade Federal da ParaíbaBrasilAdministraçãoPrograma de Pós-Graduação em AdministraçãoUFPBMachado, Márcio André Verashttp://lattes.cnpq.br/7863514939024209Lima, Luiz Renato Regis de Oliveirahttp://lattes.cnpq.br/6470751311033429Xavier, Gustavo Correia2022-03-24T19:42:42Z2021-09-102022-03-24T19:42:42Z2021-06-29info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesishttps://repositorio.ufpb.br/jspui/handle/123456789/22517engAttribution-NoDerivs 3.0 Brazilhttp://creativecommons.org/licenses/by-nd/3.0/br/info:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UFPBinstname:Universidade Federal da Paraíba (UFPB)instacron:UFPB2022-04-05T17:32:47Zoai:repositorio.ufpb.br:123456789/22517Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufpb.br/PUBhttp://tede.biblioteca.ufpb.br:8080/oai/requestdiretoria@ufpb.br|| diretoria@ufpb.bropendoar:2022-04-05T17:32:47Biblioteca Digital de Teses e Dissertações da UFPB - Universidade Federal da Paraíba (UFPB)false |
dc.title.none.fl_str_mv |
Investment plans and expected returns: insights from the life-cycle theory |
title |
Investment plans and expected returns: insights from the life-cycle theory |
spellingShingle |
Investment plans and expected returns: insights from the life-cycle theory Xavier, Gustavo Correia Planos de investimento Crescimento esperado do investimento Previsão em cross-section Ciclo de vida das empresas Retorno acionário Investment plans Expected investment growth Cross-section forecast Firm life-cycle Stock returns CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Investment plans and expected returns: insights from the life-cycle theory |
title_full |
Investment plans and expected returns: insights from the life-cycle theory |
title_fullStr |
Investment plans and expected returns: insights from the life-cycle theory |
title_full_unstemmed |
Investment plans and expected returns: insights from the life-cycle theory |
title_sort |
Investment plans and expected returns: insights from the life-cycle theory |
author |
Xavier, Gustavo Correia |
author_facet |
Xavier, Gustavo Correia |
author_role |
author |
dc.contributor.none.fl_str_mv |
Machado, Márcio André Veras http://lattes.cnpq.br/7863514939024209 Lima, Luiz Renato Regis de Oliveira http://lattes.cnpq.br/6470751311033429 |
dc.contributor.author.fl_str_mv |
Xavier, Gustavo Correia |
dc.subject.por.fl_str_mv |
Planos de investimento Crescimento esperado do investimento Previsão em cross-section Ciclo de vida das empresas Retorno acionário Investment plans Expected investment growth Cross-section forecast Firm life-cycle Stock returns CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
topic |
Planos de investimento Crescimento esperado do investimento Previsão em cross-section Ciclo de vida das empresas Retorno acionário Investment plans Expected investment growth Cross-section forecast Firm life-cycle Stock returns CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
This thesis aim to analyze how the expected investment growth, a measure of investment plans, relates to future returns at different life-cycle stages. In order to facilitate the achievement of this aim, I divide it into three studies. The first study (Chapter 1 of Part II) propose a novel measure of investment plans in the firm-level by using an approach based on text data and supervised machine learning. By combining the procedure of Han et al. (2020) with the idea of flexible dictionary of Lima, Godeiro and Mohsin (2020), I test a novel measure of investment plans based on text data from Management Discussion and Analysis disclosure in 10-K filings. In this study, the sample includes all US publicly traded firms in the period between January 1995 and December 2019. I build a unique dataset by merging information from multiple data sources. The annual firm-level financial and accounting data, I obtain from Compustat. The firms’ 10-K filings are from the SEC Edgar database and the monthly US stock returns from the Center for Research in Security Prices (CRSP). The main find of this chapter is that words matter to predict firm fundamentals, and can produce a more accurate measure of investment plans based only on public information at the time of the forecast by including data from MD&A. The second study (Chapter 2 of Part II) incorporate the life-cycle concept to contribute to our understand about the relation between investment plans and stock returns. The financial and accounting data I obtain from the merged CRSP and COMPUSTAT database. The financial firms, firms with negative book equity and, utility firms are excluded from the sample in this study. The period is between of 1962 and 2018 including only firms with CRSP share codes 10 and 11, that refer to ordinary common shares with no special status. The empirical results shows evidence against the assumptions of 1, which predicts that firms will decrease their investment plans as they become more mature. In opposite, the results, which may be a result of find a extrapolative expectations of the growth firms managers (GENNAIOLI; MA; SHLEIFER, 2016), since mature firms have smaller investment plans on average, but also smaller standard deviation. Despite the opposite evidence on 1, the results is in line others assumptions as proxies for life cycle can improve out-of-sample prediction of investment plans 1, the EIG premium of growth firms seems to be stronger than EIG premium of mature firms 2, and a portion of the EIG premium is explained by investor sentiment 2. Finally, in the third study (Chapter 3 of Part II) examine the role of life-cycle firms and market development in the relationship between a country’s aggregate investment plans and the wide stock market return by conducting an empirical research expanding actual evidence to international stock markets. For this study I perform individual time-series tests for each country, to analyze in which countries the effect is most likely to occur. The the international monthly stock data are from the Thomson Reuters Datastream, and accounting data are from the Worldscope database. The analyzed period varies from country to country and depends on data availability. The main results of this research is that the expected growth predictability is not exclusive to U.S market, and in emerging markets seems to be stronger, which imply that the rational risk explanation is not the most part of the predictability power of the aggregate expected growth investment. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-09-10 2021-06-29 2022-03-24T19:42:42Z 2022-03-24T19:42:42Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://repositorio.ufpb.br/jspui/handle/123456789/22517 |
url |
https://repositorio.ufpb.br/jspui/handle/123456789/22517 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
Attribution-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nd/3.0/br/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Attribution-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nd/3.0/br/ |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidade Federal da Paraíba Brasil Administração Programa de Pós-Graduação em Administração UFPB |
publisher.none.fl_str_mv |
Universidade Federal da Paraíba Brasil Administração Programa de Pós-Graduação em Administração UFPB |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da UFPB instname:Universidade Federal da Paraíba (UFPB) instacron:UFPB |
instname_str |
Universidade Federal da Paraíba (UFPB) |
instacron_str |
UFPB |
institution |
UFPB |
reponame_str |
Biblioteca Digital de Teses e Dissertações da UFPB |
collection |
Biblioteca Digital de Teses e Dissertações da UFPB |
repository.name.fl_str_mv |
Biblioteca Digital de Teses e Dissertações da UFPB - Universidade Federal da Paraíba (UFPB) |
repository.mail.fl_str_mv |
diretoria@ufpb.br|| diretoria@ufpb.br |
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1801842990809874432 |