Multiple Q and Investment in Japan, Volume 1: Theory and Estimation

1. Auflage 2020
ISBN: 978-981-3299-63-4
Verlag: SPRINGER NATURE

Buch, Englisch, 70 Seiten, Format (B × H): 155 mm x 235 mm

Reihe: SpringerBriefs in Economics

This book, as the first volume of a two volume treatise, develops a consistent framework of the investment function that allows for the heterogeneity of capital goods, i.e., the Multiple q model, with theoretical extensions and empirical applications to investment behavior in Japan. The standard approach to investment behavior is Tobin’s q theory in which the investment rate is a linear function of only the q ratio, or a firm's market value measured by its capital goods. As is well known, however, its empirical performance has been almost universally unsatisfactory. This treatise in two volumes offers a new approach to deal with this problem in a way relaxing the homogeneous capital assumption of Tobin’s q theory. In this volume (Volume 1) on theory and estimation, following a comprehensive overview of the literature of investment function, the authors develop Multiple q model and statistically test null hypotheses set on such issues as (a) heterogeneity of multiple capital goods, (b) non-convex adjustment costs to inspire lumpy investment, using Japanese corporate financial data. The empirical test results show that, irrespective of the time period, firms' characteristics, and the industry to which firms belong, (a) multiple capital goods are not homogeneous, and (b) some firms face adjustment cost structures that eventually lead to occasional lumpy investment.

Autoren/Hrsg.

Asako, Kazumi

Nakamura, Jun-Ichi

Tonogi, Konomi

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Volkswirtschaften einzelner Länder und Regionen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Makroökonomie

Inhaltsverzeichnis

1 Survey of the Literature

1.1 Introduction

1.2 The Development of Post q Theory

1.2.1 q Theory and the Failure of Empirical Research

1.2.2 The Search for a Better q

1.2.3 Re-examining the Estimation Equation

1.2.4 The Appearance of New Theories

1.2.5 Deep Plowing of Micro Data

1.3 The Point Reached by Investment Research on Single Capital

1.3.1 A Comparison of Models with Alternative Adjustment Costs
1.3.2 Non-linear Adjustment Costs and the Heterogeneity of Capital

1.3.3 Toward Estimation of the Investment Function According to Capital Goods

1.4 Concluding Remarks

References

2 Augmentations to Multiple q Theory

2.1 The Multiple q Model

2.2 Review of the Empirical Research on the Multiple q Model

2.3 Concluding Remarks

References

3 Construction and Summary Statistics of the Data

3.1 Three Methods to Construct Capital Investment Data

3.1.1 Proportional Method

3.1.2 Book-Value Method

3.1.3 Zero Method

3.2 Data Overview

3.2.1 Capital Stock and Capital Investment

3.2.2 Observation of Total q Data

3.3 Concluding Remarks

References

4 Investment Behavior of Japanese Firms

4.1 Comparison of the Three Methods for Constructing Capital Investment Data

4.1.1 Sample and Estimation Period

4.1.2 Comparison of the Three Methods

4.2 Heterogeneity of Capital Goods

4.2.1 Estimation of the Investment Function with the Multiple q Model

4.2.2 Data Processing and Estimation Method

4.2.3 Results of OLS Estimation

4.2.4 Results of System-GMM Estimation

4.2.5 Overcapacity Elimination Process after the Mid-1990s

4.2.6 Summary Discussion

4.3 Test of the Homogeneity of Capital

4.3.1 Partial Homogeneity

4.3.2 Breaking away from Homogeneity

4.3.3 Pairwise Homogeneity Test

4.4 Non-Convex Adjustment Costs and Lumpy Investment

4.4.1 Augmentations to the Non-linear Model

4.4.2 From the Linear Model to the Non-linear Model
4.5 Estimation Results and Implications of the Non-linear Multiple q Model

4.5.1 Estimation Results of the Base Case

4.5.2 Inner-fixed and Inner-convex, Hybrid Type

4.5.3 Estimation Results for Other Derivative Cases

4.6 Concluding Remarks

References

Über Autor(innen)

Kazumi Asako is professor at the Faculty of Economics, Rissho University. His fields of interest in research are macroeconomics, empirical analysis of Japanese economy, and social common capital and environmental economics. He received a bachelor’s degree in economics at the University of Tokyo in 1974 and a Ph.D. in economics at Yale University.
Jun-ichi Nakamura is general manager, Research Institute of Capital Formation, Development Bank of Japan. His fields of interest are corporate finance, financial system, corporate investment behavior, and Japanese economy. He received a bachelor’s degree in economics at Keio University in 1989, and MA in economics at the University of Tokyo in 1995.

Konomi Tonogi is assistant professor at the Faculty of Economics, Rissho University. His research area is investment dynamics, intangible investment, firm value, and productivity analysis. He received BA in economics at Chuo University in 2002 and MA (2004) and Ph.D (2015) in economics at Hitotsubashi University.