An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints

• 成果类型: Article
• 署名作者: Abel, Andrew B.; Panageas, Stavros
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; University of Pennsylvania; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab130
• 发表日期: 2022
• 页码: 4055
• 关键词: cash flow; corporate-investment; frictions

摘要

We derive analytic solutions for the valuation, optimal investment, and optimal payout of a financially constrained firm. While marginal q and average q would be identically equal in the absence of financial constraints, they differ when financial constraints bind. We use analytic solutions to characterize the properties of regressions of investment on average q and cash flow. The coefficient on cash flow is positive, but does not isolate the impact of the financial constraint, since it also partially reflects the impact of persistent profitability. The coefficient on average q understates the impact of persistent profitability.