Marginal Q

• 成果类型: Article; Early Access
• 署名作者: Gala, Vito D.; Gomes, Joao F.; Liu, Tong
• 署名单位: University of Chicago; University of Pennsylvania; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70074
• 发表日期: 2026-08-19
• 关键词: CORPORATE-INVESTMENT; cash flow; measurement error; market value; frictions; constraints; uncertainty; models; LABOR

摘要

We propose a new method to estimate the marginal value of capital under minimal assumptions. By combining asset prices with fundamentals, our method provides a quasi-model-free marginal q together with a simple correction for measurement error in (average) Tobin's Q using linear regressions. Marginal q yields plausible and robust estimates of adjustment costs and investment sensitivities to fundamentals. The widening gap between marginal q and Tobin's Q is driven primarily by market power and intangible capital. Our novel findings strongly support the neoclassical theory of investment and challenge the widespread use of Tobin's Q as proxy for investment opportunities.