Why Did the q Theory of Investment Start Working?
Why Did the q Theory of Investment Start Working?
复制标题
为什么投资的 q 理论开始发挥作用？
DOI：
10.2139/ssrn.3073938
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
N. Moyen
中科院分区：
文献类型：
--
作者：
D. Andrei;W. Mann;N. Moyen
Abstract We show that the relation between aggregate investment and Tobin’s q has become remarkably tight in recent years, contrasting with earlier times. We connect this change with the growing empirical dispersion in Tobin’s q, which we show both in the cross-section and the time series. To study the source of this dispersion, we augment a standard investment model with two distinct mechanisms related to firms’ research activities: innovations and learning. Both innovation jumps in cash flows and the frequent updating of beliefs about future cash flows endogenously amplify volatility in the firm’s value function. Perhaps counterintuitively, the investment-q regression works better for research-intensive industries, a growing segment of the economy, despite their greater stock of intangible assets. We confirm the model’s predictions in the data, and we disentangle the results from measurement error in q.
