Noisy Stock Prices and Corporate Investment

• 成果类型: Article
• 署名作者: Dessaint, Olivier; Foucault, Thierry; Fresard, Laurent; Matray, Adrien
• 署名单位: University of Toronto; Hautes Etudes Commerciales (HEC) Paris; Swiss Finance Institute (SFI); Universita della Svizzera Italiana; University System of Maryland; University of Maryland College Park; Princeton University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy115
• 发表日期: 2019
• 页码: 2625
• 关键词: financial-markets; IMPACT; FIRMS

摘要

Firms significantly reduce their investment in response to nonfundamental drops in the stock price of their product-market peers. We argue that this results stems from managers' limited ability to filter out the noise in the stock prices when using them as signals about their investment opportunities. Ensuing losses of capital investment and shareholders' wealth are economically large and even affect firms not facing severe financing constraints or agency problems. Our findings offer a novel perspective on how stock market inefficiencies can affect the real economy, even in the absence of financing or agency frictions.