EITM: Firm-Specific Capital and the Secular Rise of Tobin's Q

EITM：企业特定资本和托宾 Q 的长期崛起

• 批准号: 0339150
• 负责人: Boyan Jovanovic
• 金额: --
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2004
• 资助国家: 美国
• 起止时间: 2004-05-15 至 2009-04-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0339150&HistoricalAwards=false
• 关键词: EITM; Firm; Specific; Capital; Secular

The project studies the upward trend in stock market valuations of firms over the last century. It assembles and analyzes a massive data set on firm balance sheets and stock market valuations. These data are used to test and develop a theory that rising stock market valuations are due to rising firm-specificity of assets. A rising specificity of assets makes it easier to transfer more rents to the owners of the firm. The rise of management in general and, more specifically, the growing importance of the information processing role of managers played a key role in this result.Market to book value of firms (Tobin's Q) has risen a lot since 1980. The usual explanation is an increase in the importance of intangible investments and organization capital. These investments are not on the books of firms, and Q's are thereby biased upwards. There are two reasons why intangibles are not likely to be the whole story. First, the rise in Q's has happened within sectors and, in particular, in manufacturing sectors. And, second, the rise is not a new-economy phenomenon but is a century-long trend, and this includes the traditional sectors. This project hypothesizes that some of the rise in Q's is due to a steadily rising firm-specificity of assets. Evidence for rising specificity is a dramatic reduction in labor turnover over the century, and a reduction in entries and exits of firms that result in the dispersal of physical and human assets.Like the intangibles hypothesis, this theory also implies that as a percentage of the tangible capital stock earnings ought to have risen - and they have by more than 60 percent since the late 1920's.But this project's model of the division of the rents - based on auction theory - leads to a different test. The model will be one in which a firm's profits depend on how efficiently its managers can procure the human and physical capital that the firm specifically needs. The specificity of the assets to the firm will mean that there will be a rent that is somehow split between the firm and the factors in question. The test relies on the cross-section variability of Q 's and the earnings to capital. These measure the dispersion in firms' abilities to procure high quality assets at a low price. In this model a rise in the dispersion of Q 's signals a rise in the specificity of assets. The investigators estimate the model using macroeconomic time series on profit rates, the skill premium, capital and labor inputs, and GDP from 1929 to 2001 and find that the data are consistent with increasing firm specificity of capital. This project will improve the model and refine the data.Broader impacts:Wild swings in the market can have a strong impact on the real economy, and so it is important to know if the market is overvalued. This analysis shows that one part of the rise in the market is warranted by fundamentals - in this case a rise in the shareholder's portion of the firm's rents.

该项目研究了上个世纪公司股票市场估值的上升趋势。它汇集并分析了关于公司资产负债表和股市估值的大量数据集。这些数据被用来检验和发展一种理论，即股票市场估值的上升是由于资产的公司专用性上升所致。资产的专用性越来越强，更容易将更多的租金转移给公司的所有者。总体上，管理层的崛起，更具体地说，管理者信息处理作用的日益重要，对这一结果起到了关键作用。自1980年以来，公司的市值与账面价值之比(托宾的Q)上升了很多。通常的解释是无形投资和组织资本的重要性增加。这些投资不在公司的账簿上，因此Q‘s偏向于向上。为什么无形资产不太可能是问题的全部，有两个原因。首先，Q值的上升发生在行业内部，尤其是制造业。其次，这种崛起不是一种新经济现象，而是一种长达一个世纪的趋势，这包括传统行业。这个项目假设Q的上升部分是由于资产的公司专用性稳步上升。专用性增强的证据是，在过去的一个世纪里，劳动力周转率大幅下降，企业的进出减少，导致实物和人力资产的分散。与无形资产假说一样，这一理论也意味着，作为有形资本存量收益的百分比，股票收益应该上升--自20世纪20年代末以来已经上升了60%以上。但这个项目基于拍卖理论的租金划分模型导致了不同的测试。在这种模式中，公司的利润取决于其经理获得公司特别需要的人力和物质资本的效率。资产对公司的特殊性意味着，公司和相关因素之间将以某种方式平分租金。检验依赖于Q‘S的横截面变异性和资本收益率。这两个指标衡量了企业以低价获得优质资产的能力的分散度。在这个模型中，Q‘S离散度的上升标志着资产专用性的上升。研究人员利用1929年至2001年的利润率、技能溢价、资本和劳动力投入以及GDP等宏观经济时间序列对模型进行了估计，发现这些数据与企业资本专用性的增加是一致的。这个项目将改进模型并完善数据。更广泛的影响：市场的剧烈波动可能会对实体经济产生强烈影响，因此了解市场是否被高估是重要的。这一分析表明，市场上涨的一部分是基本面因素--在这种情况下，股东在公司租金中的份额上升。