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1、NBERWORKINGPAPERSERIESTHESTOCKMARKETANDINVESTMENTRobertJ.BarroWorkingPaperNo.2925NATIONALBUREAUOFECONOMICRESEARCH1050MassachusettsAvenueCambridge,MA02138April1989PreparedforpresentationattheNationalBureauofEconomicResearchconferenceonStockMarketVolatility,PuertoRico,March1989.Thisr
2、esearchissupportedbytheNationalScienceFoundation.IamgratefulforcommentsfromFischerBlack,ChangyongRhee,BillSchwert,andLarrySummersandforresearchassistancefromXavierSalaIMartin.ThispaperispartofNBER'sresearchprograminEconomicFluctuations.Anyopinionsexpressedarethoseoftheauthornotthos
3、eoftheNationalBureauofEconomicResearch.NBERWorkingPaper#2925April1989THESTOCKMARXETANDINVESTMENTABSTRACTChangesinrealstock-marketpriceshavealotofexplanatoryvalueofthegrowthrateofU.S.aggregatebusinessinvestment,especiallyforlongsamplesthatbeginin1891or1921.Moreover,fortheperiodsince
4、1921wheredataonaq-typevariableareavailable,thestockmarketdramaticallyoutperformsq.Thechangeinrealstockpricesalsoretainsitspredictivevalueinthepresenceofacash-flowvariable,suchasafter-taxcorporateprofits.BasicallysimilarresultsapplytoCanadianinvestment,exceptthattheU.S.stockmarkettu
5、rnsouttohavemovepreditivepowerthantheCanadianmarket.Idiscusssomepossibleexplanationsforthispuzzlingfinding,butnoneoftheexplanationsseemallthatconvincing.RobertJ.BarroDepartmentofEconomicsLittauerCenterHarvardUniversityCambridge,MA02138AliteratureinitiatedbyTobin(1969)relatesinvestm
6、enttoq,whichistheratioofthemarket'svaluationofcapitaltothelong-runcostofacquiringnewcapital.Anincreaseintheprospectivereturnoncapitaloradecreaseinthemarket'sdiscountrateraisesqandtherebyincreasesinvestment.Withasimpleformofadjustmentcostforchangingthecapitalstock,theoptimalamountof
7、currentinvestmentdependsonlyonthecurrentvalueofq.Butmoregenerally—forexample,withatime-to-buildtechnologyforthecapitalstock—currentinvestmentdependsoncurrentandlaggedvaluesofq(seeHayashi,1982,andAbelandlilanchard,1986).Thegrowthrateofinvestmentrelatestocurrentandlaggedvaluesofpropo
8、rtionatechangesinq.Animpor
