Testing Q theory with financing frictions

• 成果类型: Article
• 署名作者: Hennessy, Christopher A.; Levy, Amnon; Whited, Toni M.
• 署名单位: University of California System; University of California Berkeley; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.12.008
• 发表日期: 2007
• 页码: 691-717
• 关键词: Q theory; INVESTMENT; financial frictions

摘要

We develop a Q theory of investment under financing constraints. The firm invests and saves optimally facing convex costs of external equity, overhang from outstanding debt, and collateial constraints on new borrowing. Overhang and costs of external equity discourage investment. Conversely, firms anticipating collateral constraints experience a side benefit from investing as installed capital relaxes future constraints. Empirical tests support the model. Conditional on average Q, investment is lower for equity issuers and for firms with large debt overhang. The Kaplan and Zingales and the Whited and Wu indices are used as proxies for future collateral constraints. Consistent with the model, both indices enter investment regressions positively. (c) 2006 Published by Elsevier B.V.