Which Firms Follow the Market? An Analysis of Corporate Investment Decisions

被引:174
作者
Bakke, Tor-Erik [2 ]
Whited, Toni M. [1 ]
机构
[1] Univ Rochester, William E Simon Grad Sch Business Adm, Rochester, NY 14627 USA
[2] Univ Oklahoma, Norman, OK 73019 USA
关键词
G31; G32; E22; PRICE ADJUSTMENT COEFFICIENTS; CROSS-SECTION; STOCK-MARKET; FINANCIAL CONSTRAINTS; EXPECTED RETURNS; BUBBLES; MODEL; UNCERTAINTY; INFORMATION; VARIABLES;
D O I
10.1093/rfs/hhp115
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We test whether stock market mispricing or private investor information in stock prices affects corporate investment. We develop an econometric methodology that disentangles stock-price movements that are relevant for investment from those that are not. We combine this decomposition with proxies for private information and mispricing to devise unbiased tests for the effects of mispricing and information on investment. We depart from much of the literature by finding that stock market mispricing does not affect investment, especially that of large firms and firms subject to mispricing. In contrast, we confirm previous evidence that managers incorporate private investor information when making investment decisions.
引用
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页码:1941 / 1980
页数:40
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