The effects of q and cash flow on investment in the presence of measurement error
| Autor: | Andrew B. Abel |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Observational error Stochastic modelling Strategy and Management Attenuation 05 social sciences Bivariate analysis Investment (macroeconomics) Computer Science::Computers and Society Computer Science::Computational Engineering Finance and Science Accounting 0502 economics and business Econometrics Cash flow 050207 economics Finance 050205 econometrics Mathematics |
| Zdroj: | Journal of Financial Economics. 128:363-377 |
| ISSN: | 0304-405X |
| Popis: | I analyze investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. I introduce classical measurement error and derive closed-form expressions for the coefficients in regressions of investment on q and cash flow. The cash-flow coefficient is positive and larger for faster growing firms, yet there are no financial frictions in the model. I develop the concepts of bivariate attenuation and weight shifting to interpret the estimated coefficients on q and cash flow in the presence of measurement error. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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