Investment and value
Subtitle: a neoclassical benchmark
By: Janice Eberly, Sergio Rebelo, Nicolas Vincent.
Contributors: Rebelo, Sergio.; Vincent, Nicolas.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 13866; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13866.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/16/2008.

Includes bibliographical references.

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Mode of access: World Wide Web.