What Explains the Lagged Investment Effect
By Janice C. Eberly, Sergio Rebelo, Nicolas Vincent. 2012
158 citations recorded by the source corpus.
The best predictor of current investment at the firm level is lagged investment. This lagged-investment effect is empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment costs proposed by Christiano, Eichenbaum and Evans (2005) predicts the presence of a lagged-investment effect and that a generalized version of their model is consistent with the behavior of firm-level data from Compustat.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/05a135b24b54444e5c330b8042467de2f26c7aa9
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- Egon Zakraǰsek
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- Ronald A. Ratti
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Citations in the corpus
- Uncertainty, Financial Frictions, and Investment Dynamics (2014, background): “A well-documented result from the empirical investment literature is the fact that lagged investment rate is economically an important determinant of current investment spending (see Gilchrist and Himmelberg, 1995; Eberly et al., 2012).”
- The Sources of Capital Misallocation (2019, unknown): “To address this concern, we compute firm-level capital stocks for US firms, where data on the relevant price indices are readily available, using the approach outlined in Eberly, Rebelo, and Vincent ( 2012 ) .”