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

该项目研究了上个世纪股票市场对公司估值的上升趋势。 它收集和分析了大量关于公司资产负债表和股票市场估值的数据。 这些数据被用来测试和发展一个理论，即股票市场估值的上升是由于资产的公司专用性上升。 资产专用性的提高使得向企业所有者转移更多的租金变得更加容易。 管理的兴起，尤其是管理者在信息处理方面的作用日益重要，在这一结果中发挥了关键作用。自1980年以来，公司的市场账面价值（托宾Q）大幅上升。 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值偏高。 有两个原因可以解释为什么无形资产不可能是全部。首先，Q的上升发生在行业内部，特别是制造业。第二，这不是一个新经济现象，而是一个世纪的趋势，这包括传统部门。 这个项目假设，一些Q的上升是由于稳步上升的公司资产专用性。 世纪以来，劳动力流动率的急剧下降，以及导致有形资产和人力资产分散的企业进入和退出的减少，都证明了专用性的上升。这一理论还意味着，作为有形资本股票收益的一个百分比，自20世纪20年代末以来，他们已经增加了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，公司的利润取决于其管理者如何有效地获得公司特别需要的人力和物质资本。资产对企业的特殊性意味着，租金在某种程度上会在企业和相关要素之间分配。检验依赖于Q的横截面变异性和资本收益率。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值离散度的上升意味着资产专用性的上升。 研究人员使用1929年至2001年的利润率、技能溢价、资本和劳动力投入以及GDP的宏观经济时间序列来估计模型，发现数据与资本的企业专用性增加一致。 更广泛的影响：市场的剧烈波动会对真实的经济产生强烈的影响，因此了解市场是否被高估是很重要的。 这种分析表明，市场上涨的一部分是由基本面保证的-在这种情况下，股东在公司租金中的份额增加。

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.