|This paper investigates the implications of over-investment as the predictive index of the future performances, which are consisted of both future profitability(that is, future accounting performance)and future return(that is, future stock performance). Also, this paper investigates investors` responses of the implications of over-investment on the future stock performance through the Mishkin(1983)`methodology. This study also tests whether the negative relation between over-investment(or over-investment) and future profitability is existed, and examines whether over-investment anomaly is existed in Korean Stock Markets as in foreign prior literatures. Here is, over-investment anomaly means that the negative relation between over-investment and the next stock performance is existed. If the negative relation between over-investment and the next stock performance is systematically existed, the measure of over-investment can be used as the predictive index of the future stock return in stock market. Therefore, this study basically examines whether over-investment anomaly is driven by the inefficiency of stock markets in Korean stock markets as in prior literatures, and tests whether over(or capital)-investment anomaly is significantly different from accruals anomaly. In empirical analyses, this study is consisted of the samples of 5,410 firm-year companies listed in the Korea Stock Exchange during the period of 2000-2009. Empirical results are as follows; Firstly, empirical results show that the systematic negative association between over-investment and next stock performance is significantly different from accruals reversals. Also, this paper suggests evidences that both capital investment and over-investment are negatively associated with next profitability. The negative association between capital investment and next profitability is exclusively driven by the sample of positive-discretionary-investment(that is, over-investment) firms. Secondly, the negative association is applied to the future returns. Especially, the results of multivariate-regression test which based on the scaled decile rank for capital investment( CI), size, beta( β), E/P ratio, C/P ratio, accruals( Accrual), and past 11 months returns( Mom) are the same as the prior literatures. Above all, the negative association between over-investment and next stock return is very robust to various factors and other potentially associated anomalies. But, these results can only generate persistent abnormal one-year-ahead stock returns even after controlling for factors and other potentially confounding variables. Lastly, the investors` responses of the implications of over-investment for the future stock performance through the Mishkin(1983)`methodology are as follows; That is, the stock market overestimates the negative implications of over-investments for future(next) profitability. And, all empirical evidence shows that over-investment may be responsible for the investment-associated abnormal returns. Therefore, the measure of over(or capital)-investment can be used as the predictive index of the next stock return in stock market. This study is contributed that the first empirical test of the negative relation between over-investment and future(next) performance is performed. This study may be contributed in the development of capital market.