The effects of q and cash flow on investment in the presence of measurement error

• 成果类型: Article
• 署名作者: Abel, Andrew B.
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.02.005
• 发表日期: 2018
• 页码: 363-377
• 关键词: investment; cash flow; q; measurement error

摘要

I analyze investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. I introduce classical measurement error and derive closed -form expressions for the coefficients in regressions of investment on q and cash flow. The cash -flow coefficient is positive and larger for faster growing firms, yet there are no financial frictions in the model. I develop the concepts of bivariate attenuation and weight shifting to interpret the estimated coefficients on q and cash flow in the presence of measurement error. (C) 2018 Elsevier B.V. All rights reserved.