Equilibrium investment and asset prices under imperfect corporate control

• 成果类型: Article
• 署名作者: Dow, J; Gorton, G; Krishnamurthy, A
• 署名单位: University of London; London Business School; University of Pennsylvania; National Bureau of Economic Research; Northwestern University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/0002828054201422
• 发表日期: 2005
• 页码: 659-681
• 关键词: free cash flow; AGENCY COSTS; stock-market; consumption; habit; returns

摘要

We integrate a widely accepted version of the separation of ownership and control-Michael Jensen's (1986)free cash flow theory-into a dynamic equilibrium model, and study the effect of imperfect corporate control on asset prices and investment. Aggregate free cash flow of the corporate sector is an important state variable in explaining asset prices, investment, and the cyclical behavior of interest rates and the yield curve. The financial friction causes cash-flow shocks to affect investment, and causes otherwise i.i.d. shocks to be transmitted from period to period. The shocks propagate through large firms and during booms.