1 option
The Bond Market's q / Thomas Philippon.
- Format:
- Book
- Author/Creator:
- Philippon, Thomas.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12462.
- NBER working paper series no. w12462
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs much better than the usual measure in standard investment equations. With aggregate data, the fit is three times better, cash flows are driven out and the implied adjustment costs are reduced by more than an order of magnitude. The new measure also improves firm level investment equations.
- Notes:
- Print version record
- August 2006.
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