Investment and Value: A Neoclassical Benchmark

Janice C. Eberly, Sergio Rebelo, Nicolas Vincent
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引用次数: 165

Abstract

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 behaviour at the firm level.
投资与价值:新古典主义基准
哪种投资模型最适合公司层面的数据?为了回答这个问题,我们使用Compustat的数据来估计其他模型。令人惊讶的是,两个表现最好的规范都是基于Hayashi(1982)的模型。该模型最重要的含义是,Q是决定公司投资决策的充分统计量,但由于现金流和滞后投资效应存在于投资回归中,因此经常被拒绝。然而,我们发现这些回归结果非常脆弱,对于评估模型性能是无效的。所以,忘掉投资回归告诉你的吧。基于Hayashi(1982)的模型很好地描述了企业层面的投资行为。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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