In this paper we consider the properties of a simple test of parameter restrictions based on standard two-step efficient GMM estimators. The test is computed simply as the difference between the minimised values of the GMM criterion function in the restricted and unrestricted models. We compare...

We consider to what extent the empirical failings of the Q model of investment can be attributed to the assumption that stock market valuations accurately measure the present value of future net distributions to shareholders. We characterise the implications of different types of measurement...