The effects of q and cash flow on investment in the presence of measurement error

被引：18

作者：

Abel, Andrew B. ^{[1
]}

机构：

[1] Univ Penn, Wharton Sch, Dept Finance, 3620 Locust Walk, Philadelphia, PA 19104 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2018年 / 128卷 / 02期

关键词：

Investment; Cash flow; q; Measurement error; ADJUSTMENT COSTS; FRICTIONS;

D O I：

10.1016/j.jfineco.2018.02.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

I analyze investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. I introduce classical measurement error and derive closed -form expressions for the coefficients in regressions of investment on q and cash flow. The cash -flow coefficient is positive and larger for faster growing firms, yet there are no financial frictions in the model. I develop the concepts of bivariate attenuation and weight shifting to interpret the estimated coefficients on q and cash flow in the presence of measurement error. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：363 / 377

页数：15

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