Investment, Tobin's q, and interest rates

• 成果类型: Article
• 署名作者: Lin, Xiaoji; Wang, Chong; Wang, Neng; Yang, Jinqiang
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; United States Department of Defense; United States Navy; Naval Postgraduate School; Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.05.013
• 发表日期: 2018
• 页码: 620-640
• 关键词: term structure of interest rates; capital adjustment costs; Assets in place; GROWTH OPPORTUNITIES; Bond q

摘要

We study the impact of stochastic interest rates and capital illiquidity on investment and firm value by incorporating a widely used arbitrage-free term structure model of interest rates into a standard g theoretic framework. Our generalized q model informs us to use corporate credit-risk information to predict investments when empirical measurement issues of Tobin's average q are significant (e.g., equity is much more likely to be mis-priced than debt), as in Philippon (2009). We find, consistent with our theory, that credit spreads and bond q have significant predictive powers on micro-level and aggregate investments corroborating the recent empirical work of Gilchrist and Zakrajgek (2012). We also show that the quantitative effects of the stochastic interest rates and capital illiquidity on investment, Tobin's average q, the duration and user cost of capital, and the value of growth opportunities are substantial. These findings are particularly important in today's low interest rate environment. (C) 2018 Elsevier B.V. All rights reserved.