THE BOND MARKET'S q

• 成果类型: Article
• 署名作者: Philippon, Thomas
• 署名单位: New York University; National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1162/qjec.2009.124.3.1011
• 发表日期: 2009
• 页码: 1011-1056
• 关键词: capital structure; AGENCY COSTS; INVESTMENT; RISK; preference; inflation; finance

摘要

I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. With aggregate U. S. data, the bond market's q fits the investment equation six times better than the usual measure of q, it drives out cash flows, and it reduces the implied adjustment costs by more than an order of magnitude. Theoretical interpretations for these results are discussed.