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Full Description
This book, as the first volume of a two volume treatise, develops a consistent framework of the investment function that allows for the heterogeneity of capital goods, i.e., the Multiple q model, with theoretical extensions and empirical applications to investment behavior in Japan. The standard approach to investment behavior is Tobin's q theory in which the investment rate is a linear function of only the q ratio, or a firm's market value measured by its capital goods. As is well known, however, its empirical performance has been almost universally unsatisfactory. This treatise in two volumes offers a new approach to deal with this problem in a way relaxing the homogeneous capital assumption of Tobin's q theory. In this volume (Volume 1) on theory and estimation, following a comprehensive overview of the literature of investment function, the authors develop Multiple q model and statistically test null hypotheses set on such issues as (a) heterogeneity of multiple capital goods, (b) non-convex adjustment costs to inspire lumpy investment, using Japanese corporate financial data. The empirical test results show that, irrespective of the time period, firms' characteristics, and the industry to which firms belong, (a) multiple capital goods are not homogeneous, and (b) some firms face adjustment cost structures that eventually lead to occasional lumpy investment.
Contents
1 Survey of the Literature1.1 Introduction1.2 The Development of Post q Theory 1.2.1 q Theory and the Failure of Empirical Research1.2.2 The Search for a Better q1.2.3 Re-examining the Estimation Equation1.2.4 The Appearance of New Theories1.2.5 Deep Plowing of Micro Data1.3 The Point Reached by Investment Research on Single Capital1.3.1 A Comparison of Models with Alternative Adjustment Costs1.3.2 Non-linear Adjustment Costs and the Heterogeneity of Capital1.3.3 Toward Estimation of the Investment Function According to Capital Goods1.4 Concluding RemarksReferences2 Augmentations to Multiple q Theory2.1 The Multiple q Model2.2 Review of the Empirical Research on the Multiple q Model2.3 Concluding RemarksReferences3 Construction and Summary Statistics of the Data3.1 Three Methods to Construct Capital Investment Data3.1.1 Proportional Method3.1.2 Book-Value Method3.1.3 Zero Method 3.2 Data Overview 3.2.1 Capital Stock and Capital Investment 3.2.2 Observation of Total q Data 3.3 Concluding RemarksReferences4 Investment Behavior of Japanese Firms4.1 Comparison of the Three Methods for Constructing Capital Investment Data4.1.1 Sample and Estimation Period 4.1.2 Comparison of the Three Methods4.2 Heterogeneity of Capital Goods 4.2.1 Estimation of the Investment Function with the Multiple q Model4.2.2 Data Processing and Estimation Method4.2.3 Results of OLS Estimation4.2.4 Results of System-GMM Estimation4.2.5 Overcapacity Elimination Process after the Mid-1990s4.2.6 Summary Discussion4.3 Test of the Homogeneity of Capital4.3.1 Partial Homogeneity4.3.2 Breaking away from Homogeneity4.3.3 Pairwise Homogeneity Test4.4 Non-Convex Adjustment Costs and Lumpy Investment4.4.1 Augmentations to the Non-linear Model4.4.2 From the Linear Model to the Non-linear Model4.5 Estimation Results and Implications of the Non-linear Multiple q Model4.5.1 Estimation Results of the Base Case4.5.2 Inner-fixed and Inner-convex, Hybrid Type4.5.3 Estimation Results for Other Derivative Cases4.6 Concluding RemarksReferences
