In this paper we revisit the evidence recently provided by Philippon (2009) about the relationship among bond market's Q, stock market's Q and aggregate investments for the US. Specifically, we analyze the stability of the relationship between aggregate investment and the two measures of Q across frequencies and over time. We find that the relationship between aggregate investment and stock market's Q, in contrast to that with bond market's Q, is both frequency-dependent and time-varying. Both the successfulness of bond market's Q and the poor performance of the usual Tobin's Q can be explained by taking into account stability across frequencies of the first and instability over time of the latter.

Bond vs stock market's Q: Testing for stability across frequencies and over time / Gallegati, Marco; James B., Ramsey. - In: JOURNAL OF EMPIRICAL FINANCE. - ISSN 0927-5398. - STAMPA. - 24:(2013), pp. 138-150. [10.1016/j.jempfin.2013.10.003]

Bond vs stock market's Q: Testing for stability across frequencies and over time

GALLEGATI, Marco;
2013-01-01

Abstract

In this paper we revisit the evidence recently provided by Philippon (2009) about the relationship among bond market's Q, stock market's Q and aggregate investments for the US. Specifically, we analyze the stability of the relationship between aggregate investment and the two measures of Q across frequencies and over time. We find that the relationship between aggregate investment and stock market's Q, in contrast to that with bond market's Q, is both frequency-dependent and time-varying. Both the successfulness of bond market's Q and the poor performance of the usual Tobin's Q can be explained by taking into account stability across frequencies of the first and instability over time of the latter.
2013
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11566/140877
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