| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16336 |
| 来源ID | Working Paper 16336 |
| Cross-sectional Tobin's Q | |
| Frederico Belo; Chen Xue; Lu Zhang | |
| 发表日期 | 2010-09-02 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | The neoclassical investment model matches cross-sectional asset prices both in first differences and in levels. With ten book-to-market deciles as the testing portfolios, the investment model largely matches the Tobin's Q spread and the average return spread across the extreme deciles. The parameter estimates imply low adjustment costs around 1.7% of sales. The model's fit results from three aspects of our econometric strategy: (i) We test the model at the portfolio level to alleviate the impact of measurement errors; (ii) we match the first moment to mitigate the impact of temporal misalignment between asset prices and investment; and (iii) we allow for nonlinear marginal costs of investment. Our evidence suggests that any differences between the intrinsic value of equity and the market value of equity tend to dissipate in the long run. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w16336 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574011 |
| 推荐引用方式 GB/T 7714 | Frederico Belo,Chen Xue,Lu Zhang. Cross-sectional Tobin's Q. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16336.pdf（295KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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