What explains the lagged-investment effect?

Janice Eberly; Sergio Rebelo; Nicolas Vincent

doi:10.1016/j.jmoneco.2012.05.002

What explains the lagged-investment effect?

Janice Eberly, Sergio Rebelo^*, Nicolas Vincent

^*Corresponding author for this work

Finance

Research output: Contribution to journal › Article › peer-review

74 Scopus citations

Abstract

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 et al. (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.

Original language	English (US)
Pages (from-to)	370-380
Number of pages	11
Journal	Journal of Monetary Economics
Volume	59
Issue number	4
DOIs	https://doi.org/10.1016/j.jmoneco.2012.05.002
State	Published - May 2012

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.jmoneco.2012.05.002

Cite this

@article{e4f31312e968481098b27fe70d509034,

title = "What explains the lagged-investment effect?",

abstract = "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 et al. (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.",

author = "Janice Eberly and Sergio Rebelo and Nicolas Vincent",

year = "2012",

month = may,

doi = "10.1016/j.jmoneco.2012.05.002",

language = "English (US)",

volume = "59",

pages = "370--380",

journal = "Journal of Monetary Economics",

issn = "0304-3932",