Credit spreads and investment opportunities

详细信息    查看全文

• 作者：Tao Shen
• 关键词：Tobin’s q ; Investment ; Credit spreads ; Financial frictions
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：48
• 期：1
• 页码：117-152
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory;
• 出版者：Springer US
• ISSN：1573-7179
• 卷排序：48

文摘

Do credit spreads signal firm investment opportunities just like Tobin’s q? Because both credit spreads and Tobin’s q are market prices, they should contain similar information about the firm. I develop an investment model in which an analytical relation is established between the marginal q and the credit spreads. Using U.S. firm-level data, I find that credit spreads are a statistically important predictor of firm investment and their explanatory power is higher than that of Tobin’s q. The empirical evidence shows that credit spreads capture the effects of financial frictions, which drive a wedge between marginal and Tobin’s q.