TY  - JOUR
AU  - Schankerman,Mark
TI  - Revisions and Investment Plans and the Stock Market Rate of Return
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3937
PY  - 1991
Y2  - December 1991
UR  - http://www.nber.org/papers/w3937
L1  - http://www.nber.org/papers/w3937.pdf
N1  - Author contact info:
Mark Schankerman
Department of Economics, R.516
London School of Economics
Houghton Street
London WC2A 2AE
UK
Tel: 442079557518
E-Mail: M.Schankerman@lse.ac.uk
AB  - This paper explores the sources of uncertainty that cause firms to revise their capital investment plans and the stock market to revise its valuation of those firms. A simple method is developed to decompose the uncertainty governing revisions in investment plans and the stock market rate of return in micro, setoral and aggregate components, and to measure the degree of heterogeneity in micro responses to common disturbances. The method is applied to a panel data set of firms in the U.S. economy for the period 1950-1973. The empirical results show that the capital investment decision is governed primarily by idiosyncratic uncertainty, but common disturbances are more important for movements in the stock market rate of return.
ER  -