Measurement error and the relationship between investment and q

• 成果类型: Article
• 署名作者: Erickson, T; Whited, TM
• 署名单位: United States Department of Labor; University of Iowa
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/317670
• 发表日期: 2000
• 页码: 1027-1057
• 关键词: Panel data; adjustment costs; Firm investment; corporate-investment; JAPANESE FIRMS; cash flow; constraints; liquidity; MARKET

摘要

Many recent empirical investment studies have found that the investment of financially constrained firms responds strongly to cash flow Paralleling these findings is the disappointing performance of the q theory of investment: even though marginal q should summarize the effects of all factors relevant to the investment decision, cash flow still matters. We examine whether this failure is due to error in measuring marginal q. Using measurement error-consistent generalized method of moments estimators, we find that most of the stylized facts produced by investment-q cash flow regressions are artifacts of measurement error. Cash flow does not matter, even for financially constrained firms, and despite its simple structure, q theory has good explanatory power once purged of measurement error.