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  1. Marking to market corporate debt
    Autor*in: Bretscher, Lorenzo; Feldhütter, Peter; Kane, Andrew; Schmid, Lukas
    Erschienen: 2021
    Verlag:  Swiss Finance Institute, Geneva

    Models of capital structure and credit risk make predictions about market valuations of debt, but are routinely tested on the basis of book debt from common data sources. In this paper, we propose to close this gap. We construct a rich data set on... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Models of capital structure and credit risk make predictions about market valuations of debt, but are routinely tested on the basis of book debt from common data sources. In this paper, we propose to close this gap. We construct a rich data set on firm level debt market valuations by carefully matching data on corporate bond and loan secondary market transactions. We document significant discrepancies between market and book values, especially for distressed firms. We use our dataset to i) provide novel rules of thumb on how to adjust leverage and unlever returns using standard datasets, and ii) to revisit a number of prominent empirical patterns involving corporate debt. Using a market-based measure of Tobin's Q, we find little evidence for investment cash-flow sensitivity in our data. We find that using market debt values significantly improves default prediction, and do not detect a credit spread puzzle. In asset pricing tests, we find a leverage premium, but no evidence for a value premium after controlling for market leverage. Moreover, a novel measure of financial distress, namely market-to-book debt, predicts stock returns positively in the cross-section, inconsistent with a financial distress puzzle

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 21, 06
    Schlagworte: Corporate Debt Valuations; Tobin's Q; Leverage Premium
    Umfang: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  2. Not your average firm
    a quantile regression approach to the firm level investment
    Autor*in: Sündal, Doguhan
    Erschienen: [2021]
    Verlag:  University of Utah, Department of Economics, [Salt Lake City, UT]

    The large majority of the work published on firm investment is done in the neoclassical frame of a rational optimizing firm attempting to achieve optimal size. While this frame addresses one important consideration in firm investment, it has two... mehr

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    The large majority of the work published on firm investment is done in the neoclassical frame of a rational optimizing firm attempting to achieve optimal size. While this frame addresses one important consideration in firm investment, it has two important shortcomings that this paper will address. First, it doesn't have a clear interpretation of how the cashflows are affecting the firm investment decisions. Second, the standard approach operates on an "average firm," which in fact is significantly different from a firm with modal investment behavior. This study employs a Bayesian quantile regression model that yields two significant results. First concerning the relative responsiveness of these two neglected factors, it determines that the firms with higher investment rates have higher responsiveness to the valuation ratio and lower responsiveness to the profit rate. Second and of broader political economic note, it finds a decline in the responsiveness of firm investment to these factors that is consistent with the widely discussed macroeconomic "secular stagnation" of the US economy, and within that consistency, that the decline varies across sectors, and is more pronounced in firms with higher investment rates.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/261023
    Schriftenreihe: Working paper / University of Utah, Department of Economics ; no: 2021, 02 (June 2021)
    Schlagworte: Tobin's Q; Investment Rate; Pro t Rate; Finance Constraint; SecularStagnation; Bayesian Econometrics; Bayesian Quantile Regression
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  3. Forecasting housing investment
    Autor*in: Cañizares Martínez, Carlos; Bondt, Gabe J. de; Gieseck, Arne
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This study applies a model averaging approach to conditionally forecast housing investment in the largest euro area countries and the euro area. To account for substantial modelling uncertainty, it estimates many vector error correction models... mehr

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    DS 534
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    This study applies a model averaging approach to conditionally forecast housing investment in the largest euro area countries and the euro area. To account for substantial modelling uncertainty, it estimates many vector error correction models (VECMs) using a wide set of short and long-run determinants and selects the most promising specifications based on in-sample and out-of-sample criteria. Our results highlight marked cross-country heterogeneity in the key drivers of housing investment which calls for country-specific housing market policies. A pseudo out-of-sample forecast exercise shows that our model averaging approach beats a battery of ambitious benchmark models, including BVARs, FAVARs, LASSO and Ridge regressions. This suggests that there is ample scope for model averaging tools in forecast exercises, notably as they also help to reduce model uncertainty and can be used to assess forecast uncertainty.

     
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    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289960700
    Weitere Identifier:
    hdl: 10419/278483
    Schriftenreihe: Working paper series / European Central Bank ; no 2807
    Schlagworte: Housing investment; model and forecast averaging; Tobin's Q; VECM
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. The decline in capital formation in Japan
    empirical research on Japanese listed firms data
    Autor*in: Ishikawa, Takayuki
    Erschienen: [2023]
    Verlag:  RIETI, [Tokyo, Japan]

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    Schriftenreihe: RIETI discussion paper series ; 23-E, 008 (February 2023)
    Schlagworte: Intangible asset; Tobin's Q; Weak investment
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  5. Forecasting private investment in Finland using Q-theory and frequency decomposition
    Autor*in: Nippala, Veera; Sinivuori, Taina
    Erschienen: 2023
    Verlag:  Bank of Finland, Helsinki

    We look for a forecasting model for private investments in Finland. As explanatory variables, we use different proxies of Tobin's Q and cash flow as well as these series decomposed to different frequency components. The forecasts are produced using... mehr

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    We look for a forecasting model for private investments in Finland. As explanatory variables, we use different proxies of Tobin's Q and cash flow as well as these series decomposed to different frequency components. The forecasts are produced using OLS and National Accounts and Financial Accounts data. We find that the models that include a proxy of Q, cash flow or both most often result in smaller RMSFE's compared to the benchmark AR-model, but the differences are not statistically significant. Frequency decomposition can improve the model performance, even though the difference is not statistically significant either. The most accurate forecasts are achieved by approximating Tobin's Q with the ratio of firm's market value and the sum of physical and intangible capital stocks.

     
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    hdl: 10419/279701
    Schriftenreihe: BoF economics review ; 2023, 3
    Schlagworte: forecasting; investment; Tobin's Q; discrete wavelets
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  6. How do ESG performance and awareness affect firm value and corporate overinvestment?
    Autor*in: Irawan, Denny; Okimoto, Tatsuyoshi
    Erschienen: [2021]
    Verlag:  RIETI, [Tokyo, Japan]

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: Revised: February 2022
    Schriftenreihe: RIETI discussion paper series ; 21-E, 033
    Schlagworte: Environmental; Social; Governance; Controversies; Tobin's Q; Overinvestment
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  7. Analysis of the impact of ESG performance on the valuation and profitability of corporates in comparison to financial institutions
    Autor*in: Löw, Edgar; Cordovez, Juan Sebastian
    Erschienen: 31/08/2023
    Verlag:  European Banking Institute e.V., Frankfurt am Main, Germany

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Rechte
    Fernleihe:
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    Sprache: Englisch
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    Schriftenreihe: EBI working paper series ; no. 152 (2023)
    Schlagworte: ESG Performance; ESG Ratings; ESG; Environment; Social; Governance; CSR; ROE; ROA; Tobin's Q; Corporates; Banks; Financial Institutions; Disclosure
    Umfang: 1 Online-Ressource (circa 101 Seiten), Illustrationen
  8. Unconventional monetary policy or automatic stabilizers?
    a financial post-Keynesian comparison
    Autor*in: Nair, Nitin
    Erschienen: August 2023
    Verlag:  Levy Economics Institute, Annandale-on-Hudson, NY

    The purpose of public policy, expansionary or contractionary, is to encourage the expansion of income, output, and employment. Theory decides the nature and kind of policy, and the underlying mechanics that result in expansion. Keynes (1964) brings... mehr

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    The purpose of public policy, expansionary or contractionary, is to encourage the expansion of income, output, and employment. Theory decides the nature and kind of policy, and the underlying mechanics that result in expansion. Keynes (1964) brings money and a monetary production economy to the forefront of economic analysis, yet in the General Theory, he is skeptical of the efficacy of monetary policy. This paper analyzes how prices of assets, liabilities, and commodities interact in response to unconventional monetary policy and fiscal policy (namely automatic stabilizers) to create conditions that stimulate private investment and economic activity. Modern economics, after accepting the need for intervention, tends to attempt to use monetary policy to steer aggregate demand. "Unconventional" monetary policy such as zero and negative interest rates, and quantitative easing have been instituted in an attempt to fight slumps and stimulate economic activity without increasing government deficits. In this paper, we point out- using Davidson's (1972) financial post-Keynesian framework-how unconventional monetary policy is not sufficient to create the conditions of backwardation that stimulate production. Finally, we explain how automatic stabilizers, using the Kalecki profits (price) equation, are the best avenue to create the conditions for backwardation that stimulate economic activity. We conclude, like Keynes, that fiscal policy is the reliable path to economic expansion.

     
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    hdl: 10419/283216
    Schriftenreihe: Working paper / Levy Economics Institute of Bard College ; no. 1025
    Schlagworte: Financial post-Keynesian Theory; Unconventional Monetary Policy; Quantitative Easing; Automatic Stabilizers; backwardation; Contango; Tobin's Q; Paul Davidson
    Umfang: 1 Online-Ressource (circa 25 Seiten)