We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...

We use a real options approach to evaluate the performance of proxy variables for a firmiquest;s investment opportunity set. The results show that on a relative scale, the market-to-book assets ratio outperforms all other proxy variables that we investigate. It has the highest information...

Through reliance on continuous disclosure, market efficiency and simple tools, I make an observation that the capital markets value exploration and development resource companies in a manner that could effectively attribute to them some hope for exploration success and minerals discovery, which...

This paper investigates the mining industry's poor productivity performance as measured by the conventional multifactor productivity (MFP) index during the recent mining boom in Australia. We derive a relationship between the measured and 'true' MFP growth that separates the effects of returns...

This paper proposes a parsimoniously time varying parameter vector autoregressive model (with exogenous variables, VARX) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are assumed to follow parsimonious random walks, where...

We consider a new method to estimate causal effects when a treated unit suffers a shock or an intervention, such as a policy change, but there is not a readily available control group or counterfactual. We propose a two-step approach where in the first stage an artificial counterfactual is...

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

The exploration and investment decisions for a resource producing firm are largely irreversible, not now-or-never propositions, and have uncertain future payoffs. As such, we show that, for such decisions to proceed, the expected discounted future returns to these decisions must outweigh the...