Tobin's Q and Stock Market Performance

This study examines if the change in aggregate Tobin's q ratio (∆TBQ) can dynamically forecast return on the S&P 500 (SP). The VAR results from analyzing quarterly data from 1951Q4 to 2012Q4 show that the response of SP to ∆TBQ shock becomes significantly positive immediately. The Granger-causality test results reveal that ∆TBQ Granger-causes SP; the reverse causality is not evident. The variance decomposition results reveal that ∆TBQ forecasts about 70% of SP at the two-quarter to eight-quarter horizons

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Year of publication:	2014
Authors:	Sum, Vichet
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Aktienmarkt \| Stock market \| Tobins Q \| Tobin's Q \| Börsenkurs \| Share price \| Kapitaleinkommen \| Capital income \| Theorie \| Theory

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