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

该项目研究了上个世纪公司股票市场估值的上升趋势。它收集并分析公司资产负债表和股票市场估值的大量数据。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特异性上升。资产特殊性的提高使得更多的租金更容易转移给公司的所有者。一般来说，管理的兴起，更具体地说，管理人员的信息处理作用日益重要，在这一结果中发挥了关键作用。自1980年以来，公司的市净率（托宾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。这些投资并不在公司的账簿上，因此Q值偏高。无形资产不可能是全部原因有两个原因。首先，Q值的上升发生在行业内部，尤其是制造业。其次，这种增长不是一种新经济现象，而是一个世纪的趋势，传统行业也不例外。该项目假设Q的上升部分是由于资产的企业特异性稳步上升。一个世纪以来，劳动力流动率大幅下降，企业进入和退出的减少，导致了物质和人力资产的分散，这就是专用性上升的证据。就像无形资产假说一样，这一理论也暗示，作为有形资本的一部分，股票收益应该上升——自20世纪20年代末以来，它们已经上升了60%以上。但是这个项目的租金分配模型——基于拍卖理论——导致了一个不同的测试。在这种模式下，公司的利润取决于管理者获取公司所需的人力和物质资本的效率。对于公司来说，资产的特殊性意味着公司和相关因素之间会以某种方式分配租金。该测试依赖于Q的横截面变异性和资本收益。这些指标衡量了企业以低价获得高质量资产的能力的分散程度。在这个模型中，Q信号离散度的增加意味着资产专用性的增加。研究者利用宏观经济时间序列对1929年至2001年的利润率、技能溢价、资本和劳动力投入以及GDP进行了模型估计，发现数据与资本的企业特异性增加相一致。该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对实体经济产生强烈影响，因此了解市场是否被高估很重要。这一分析表明，市场上涨的一部分是由基本面保证的——在这种情况下，是公司租金中股东部分的上涨。

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.