Empirical essays on financial and real investment behavior:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Göteborg
Nationalekonomiska Inst., Handelshögskolan vid Göteborgs Univ.
1998
|
| Series: | Ekonomiska studier
82 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 117 S. graph. Darst. |
| ISBN: | 9188514412 |
Staff View
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| 245 | 1 | 0 | |a Empirical essays on financial and real investment behavior |c Anders Johansson |
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Record in the Search Index
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Contents
Acknowledgments xi
1 Introduction 1
1.1 Outline of the Thesis 1
1.2 A Summary of the Main Results 2
2 Investment Plan Revisions and Share Price Volatility 5
2.1 Introduction 5
2.2 Theoretical Background 7
2.3 Data Description 10
2.3.1 Revisions in Investment Plans 11
2.3.2 Aggregation 12
2.3.3 Descriptive Statistics 13
2.3.4 Stock Market Data 15
2.4 The Model and the Econometric Method 15
2.4.1 Heterogeneous Response 21
2.5 Estimates 21
2.6 Further Connections Between Revisions 22
2.7 Conclusions 26
2.8 References 27
2.A Appendix: Derivation of the Heterogeneous Response Model 28
2.B Appendix: Figures 30
3 Investment Behavior An Euler Equation Approach 33
3.1 Introduction 33
3.1.1 A Canonical Investment Model 35
3.2 An Euler Equation Model 37
3.3 Data Description 40
3.4 Econometric Specification 42
3.4.1 Results 46
3.5 Conclusion 50
3.6 References 52
4 Firm Specific Variables and Consensus Forecasts 55
4.1 Introduction 55
4.2 Theoretical Background 56
4.3 The Data Set 59
4.4 The Effects of Lagged Firm Attributes on Returns 62
vi
4.5 The Effects of Consensus Forecasts in the Asset Pricing Model 65
4.6 Reduction of the Initial Models 67
4.7 A Comparison of the Models: Do the Models Based on Fore¬
casting Data Encompass the Models Based on Accounting
Data? 70
4.8 Conclusions 76
4.9 References 77
4.A Appendix 78
5 Models of a Short Term Interest Rate 87
5.1 Introduction 87
5.2 Theoretical Models and Estimation Methods 88
5.3 The Data Set 94
5.4 Estimation and Simulation Results 96
5.5 Evaluation of the Model 102
5.6 A Spectral Analysis of the Interest Rate Series 105
5.7 Conclusions 109
5.8 References 110
5. A Appendix: The Ito Integral and Stochastic Differential Equa¬
tions Ill
5.B Appendix: The Approximation Formula 114
5.C Appendix: Spectral Analysis 115
vii
List of Figures
2.B.lFrequency distribution of revisions in employment plans,
1981 1993 30
2.B.2Frequency distribution of revisions in sales plans, 1975 1993. 31
2.B.3Frequency distribution of revisions in investment plans, 1975
1993 31
2.B.4Time series behavior of aggregated revisions in employment ,
sale and investment plans 32
2.B.5Real investments in equipment and structures in the manu¬
facturing sector and revisions in investment plans from the
planning survey, 1975 1993 32
5.1 Interest rate January 1986 May 1991 95
5.2 Differenced interest rate, 01 Jan 1986 30 May 1991 .... 98
5.3 Interest and filtered interest rate (1986 1991) 106
5.4 Residual from the filter 107
5.5 Estimated lag window and AR(2) spectral densities 108
5.C.lAutocorrelation functions 116
ix
List of Tables
2.1 Average size in 1993 of companies in main subsectors of the
survey 13
2.2 Summary statistics about deviations of outcome from plan
for employment, sales and total investment, in percent ... 14
2.3 Correlations between revisions in plans for employment, in¬
vestment and sales 14
2.4 Statistics about stock price excess rate of returns, 1975 1993,
for companies included in the planning survey 16
2.5 Variance decomposition for investment revisions and rate of
return, in percent 23
2.6 Regressions of investment revisions and rates of return on
revision variables 25
3.1 Estimates of specification (3.8), all firms 47
3.2 Estimates of specification (3.8), listed/non listed firms and
domestic/foreign firms 49
3.3 Estimates of specification (3.8), stock exchange firms .... 51
4.1 Sector classification and international listing of firms .... 60
4.2 Descriptive data for the monthly return on the market index,
the MERM and the yield spread 61
4.3 Descriptive data for firms rates of return 62
4.4 Tests based on specification (4.10), accounting data 66
4.5 Tests based on specification (4.10), consensus forecast data 67
4.6 Encompassing and nested tests, I 72
4.7 Encompassing and nested tests, II 74
4.A.lResearch teams included in the consensus 78
4.A.2Reduced models from the specification (4.10), accounting data 79
4.A.2Continued 80
4.A.3Reduced models from the specification (4.10), consensus fore¬
cast data 81
4.A.3Continued 82
4.A.40ut of sample forecast tests 83
4.A.5Reduced models from the specification (4.10), consensus fore¬
cast data without lagged prices 84
4.A.6Q statistics for the first differences of the following ratios:
price/earnings, price/book, and dividend/price 85
4.A.6Continued 86
X
5.1 Descriptive statistics for the interest rate level and the differ¬
enced interest rate during the period January 1986 to May
1991 96
5.2 Sample autocorrelations at lags 1 to 15 97
5.3 Estimates from function (5.16) 99
5.4 Statistics from two experiments, whole period 101
5.5 Statistics from two experiments, split sample 102
5.6 Statistics from two experiments based on the first 333 ob¬
servations 103
5.7 Statistics from out of sample predictions 104
|
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| physical | XII, 117 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
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| publisher | Nationalekonomiska Inst., Handelshögskolan vid Göteborgs Univ. |
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| series | Ekonomiska studier |
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| spelling | Johansson, Anders 1959- Verfasser (DE-588)138482365 aut Empirical essays on financial and real investment behavior Anders Johansson Göteborg Nationalekonomiska Inst., Handelshögskolan vid Göteborgs Univ. 1998 XII, 117 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Ekonomiska studier 82 Zugl.: Göteborg, Univ., Diss., 1998 Investitionsverhalten (DE-588)4114046-1 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Investitionsverhalten (DE-588)4114046-1 s DE-604 Ekonomiska studier 82 (DE-604)BV000011510 82 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008142639&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Johansson, Anders 1959- Empirical essays on financial and real investment behavior Ekonomiska studier Investitionsverhalten (DE-588)4114046-1 gnd |
| subject_GND | (DE-588)4114046-1 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Empirical essays on financial and real investment behavior |
| title_auth | Empirical essays on financial and real investment behavior |
| title_exact_search | Empirical essays on financial and real investment behavior |
| title_full | Empirical essays on financial and real investment behavior Anders Johansson |
| title_fullStr | Empirical essays on financial and real investment behavior Anders Johansson |
| title_full_unstemmed | Empirical essays on financial and real investment behavior Anders Johansson |
| title_short | Empirical essays on financial and real investment behavior |
| title_sort | empirical essays on financial and real investment behavior |
| topic | Investitionsverhalten (DE-588)4114046-1 gnd |
| topic_facet | Investitionsverhalten Aufsatzsammlung Hochschulschrift |
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