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What Explains the Lagged Investment Effect? / Janice C. Eberly, Sergio Rebelo, Nicolas Vincent.
- Format:
- Book
- Author/Creator:
- Eberly, Janice C.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w16889.
- NBER working paper series no. w16889
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2011.
- Summary:
- The best predictor of current investment at the firm level is lagged investment. This lagged-investment effect is empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment costs proposed by Christiano, Eichenbaum and Evans (2005) predicts the presence of a lagged-investment effect and that a generalized version of their model is consistent with the behavior of firm-level data from Compustat.
- Notes:
- Print version record
- March 2011.
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