Nonlinear response of firm investment to Q: Testing a model of convex and non-convex adjustment costs

• 成果类型: Article
• 署名作者: Barnett, SA; Sakellaris, P
• 署名单位: International Monetary Fund; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(98)00028-2
• 发表日期: 1998
• 页码: 261-288
• 关键词: investment; Tobin's Q; adjustment costs; nuisance parameters

摘要

Abel and Eberly (1994) study optimal investment behavior in the presence of flow fixed costs, proportional costs and convex costs. A clear prediction is that investment will alternate between regimes of insensitivity and responsiveness to q separated by unknown threshold levels of q. At the firm level, we find evidence for different regimes of sensitivity to q but not for a regime of zero sensitivity. Our finding that investment has a nonlinear relationship to q is important because it implies an elasticity of aggregate investment to q (and fundamentals) that is high and variable over time, (C) 1998 Elsevier Science B.V. All rights reserved.