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Investment and Value: A Neoclassical Benchmark / Janice Eberly, Sergio Rebelo, Nicolas Vincent.
- Format:
- Book
- Author/Creator:
- Eberly, Janice.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w13866.
- NBER working paper series no. w13866
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Investment and Value
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2008.
- Summary:
- Which investment model best fits firm-level data? To answer this question we estimate alternative models using Compustat data. Surprisingly, the two best-performing specifications are based on Hayashi's (1982) model. This model's foremost implication, that Q is a sufficient statistic for determining a firm's investment decision, has been often rejected because cash-flow and lagged-investment effects are present in investment regressions. However, we find that these regression results are quite fragile and ineffectual for evaluating model performance. So, forget what investment regressions tell you. Models based on Hayashi (1982) provide a very good description of investment behavior at the firm level.
- Notes:
- Print version record
- March 2008.
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