A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment … capital. The model fits well the value, momentum, investment, and profitability premiums simultaneously and partially explains … profitability premiums, as well as the countercyclical and long-term dynamics of the value and investment premiums. However, the …

What does the saving-investment (SI) relation really measure and how should the SI relation be measured? These are two …

estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … same conclusions concerning the investment behaviour of German manufacturing firms based on the Deutsche Bundesbank …'s Corporate Balance Sheet Statistics. Investment is strongly positive dependent on lagged investment and Q. Nevertheless, in …

misspecification due to the q-ratio being an insufficient statistic for determining investment. The function recovered from Indian 2013 … WBES data is able to explain both lumpy and serially correlated investment …

estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … same conclusions concerning the investment behaviour of German manufacturing firms based on the Deutsche Bundesbank …'s Corporate Balance Sheet Statistics. Investment is strongly positive dependent on lagged investment and Q. Nevertheless, in …

standard first difference GMM procedure fails. I propose three estimation strategies. One is based on quasi-differencing, and …

estimation of a heterogeneous firm model with aggregate shocks to neutral and investment‐specific productivity. I find that the … behavior of investment at the firm level quantitatively shapes inference about the aggregate shock processes, suggesting an …

estimators that deal with measurement errors in investment models. ACG are the first to provide an independent assessment of …