What explains the lagged-investment effect?

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.

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Year of publication:	2012
Authors:	Eberly, Janice ; Rebelo, Sergio ; Vincent, Nicolas
Published in:	Journal of Monetary Economics. - Elsevier, ISSN 0304-3932. - Vol. 59.2012, 4, p. 370-380
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010868916