Arbeitspapier
Testing the Q theory of investment in the frequency domain
We revisit the empirical performance of the Q theory of investment, explicitly taking into account the frequency dependence of investment, Tobin's Q, and cash flow. The time series are decomposed into orthogonal components of different frequencies using wavelet multiresolution analysis. We find that the Q theory fits the data much better than might be expected (both in-sample and out-of-sample) when the frequency relationship between the variables is taken into account. Merging the wavelet approach and proxies for Q recently suggested in the investment literature also significantly improves the quality of short-term forecasts.
- ISBN
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978-952-323-141-2
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Research Discussion Papers ; No. 32/2016
- Classification
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Wirtschaft
Econometric and Statistical Methods: Special Topics: Other
Investment; Capital; Intangible Capital; Capacity
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
- Event
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Geistige Schöpfung
- (who)
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Kilponen, Juha
Verona, Fabio
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
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2016
- Handle
- Last update
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11.04.20252025, 3:22 PM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kilponen, Juha
- Verona, Fabio
- Bank of Finland
Time of origin
- 2016
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