S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Konjunkturinstitutet - National Institute of Economic Research Working Papers, Konjunkturinstitutet - National Institute of Economic Research

No 57:
Investment Plan Revisions and Share Price Volatility

Anders Johansson and Karl-Markus Modén

Abstract: The aim of this paper is to investigate the nature of the links between the stock market reactions to significant news in the information set, relevant to investment decisions, and how firms from a panel revise their investment plans in light of the same information. The data on revisions in investment plans also makes it possible to estimate the relative importance of different sources of uncertainty: micro, sectoral or macro, which is an important issue in business cycle research. It is also relevant for models of investment behavoiur and for empirical models on panel data. The statistical method we use is nested (co-) variance components. Our main findings are that the link between stock market reactions to news and the firms revisions of investment plans is weak, and that microlevel uncertainty is the dominant source of uncertainty driving fluctuations in investment spending.

Keywords: News; Information sets; Sources of Uncertainty.; (follow links to similar papers)

JEL-Codes: E22; E32; G14; (follow links to similar papers)

31 pages, December 1, 1997

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

WP_57.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Sarah Hegardt Grant ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:nierwp:0057 This page was generated on 2016-12-07 23:04:10