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dc.contributor.authorHüttel, Silkeen_US
dc.contributor.authorMußhoff, Oliveren_US
dc.contributor.authorOdening, Martinen_US
dc.contributor.authorZinych, Nataliyaen_US
dc.description.abstractNumerous studies have tried to provide a better understanding of firm-level investment behaviour using econometric models. The model specification of more recent studies has been based on two main approaches. The first, the real options approach, focuses on irreversibility and uncertainty in perfect capital markets; of particular interest is the range of inaction caused by sunk costs. The second, the neo-institutional finance theory, emphasises capital market imperfections and firms' released liquidity constraints. Empirical applications of the latter theory often refer to linear econometric models to prove these imperfections and thus do not account for the range of inaction caused by irreversibility. In this study, a generalised Tobit model based on an augmented q model is developed with the intention of considering the coexistence of irreversibility and capital market imperfections. Simulation-based experiments allow investigating the properties of this model. It can be shown how disregarding irreversibility reduces effectiveness of simpler linear models.en_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,016en_US
dc.subject.keywordq modelen_US
dc.subject.keywordcapital market imperfectionsen_US
dc.subject.keywordgeneralised Tobit modelen_US
dc.subject.stwTobin's Qen_US
dc.subject.stwUnvollkommener Markten_US
dc.titleEstimating investment equations in imperfect capital marketsen_US
dc.typeWorking Paperen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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