- مبلغ: ۸۶,۰۰۰ تومان
- مبلغ: ۹۱,۰۰۰ تومان
A model of investment with financial constraints is used to study the relation between investment and Tobin’s q. A firm is financed by both inside and outside investors. When insiders’ wealth is scarce, the firm’s value includes a quasi-rent on invested capital. Therefore, two forces drive q: the value of invested capital and future quasi-rents. Relative to a frictionless benchmark, this weakens the relationship between investment and q, generating more realistic correlations between investment, q, and cash flow. The quantitative implications of the model for investment regressions depend crucially on the nature of the shocks hitting the firm.
The paper shows that financial frictions can help dynamic investment models move closer to the correlations observed in the data. The model in this paper is stylized, but the main conclusions on the role of different shocks are likely to extend to more complex models. In particular, a promising avenue seems to be to build models where a substantial fraction of the volatility in q is associated to news about profitability relatively far in the future and where these news have relatively small effects on current investment decisions. By assuming risk neutrality, we have omitted an important source of volatility in asset prices, namely volatility in discount factors and risk premia. It is an important open question how these additional sources of volatility affect the correlations investigated here, especially because these factors are likely to correlate with the stringency of financial constraints for individual firms.