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dc.contributor.authorGilchrist, Simonen_US
dc.contributor.authorHimmelberg, Charles P.en_US
dc.contributor.authorHuberman, Guren_US
dc.date.accessioned2012-08-17T14:26:17Z-
dc.date.available2012-08-17T14:26:17Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/60609-
dc.description.abstractBuilding on recent developments in behavioral asset pricing, we develop a model in which an increase in the dispersion of investor beliefs under short-selling constraints predicts a bubble, or a rise in a stock's price above its fundamental value. Our model predicts that managers respond to bubbles by issuing new equity and increasing capital expenditures. We test these predictions, as well as others, using the variance of analysts' earnings forecasts - a proxy for the dispersion of investor beliefs - to identify the bubble component in Tobin's Q. When comparing firms traded on the New York Stock Exchange with those traded on NASDAQ, we find that our model successfully captures key features of the technology boom of the 1990s. We obtain further evidence supporting our model by using a panel-data VAR framework. We find that orthogonalized shocks to dispersion have positive and statistically significant effects on Tobin's Q, net equity issuance, and real investment - results that are consistent with the model's predictions.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 177en_US
dc.subject.jelE22en_US
dc.subject.jelG31en_US
dc.subject.jelG32en_US
dc.subject.jelD92en_US
dc.subject.ddc330en_US
dc.subject.keywordinvestmenten_US
dc.subject.keywordstock marketen_US
dc.subject.keywordbubbleen_US
dc.subject.keyworddispersionen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBubblesen_US
dc.subject.stwInvestitionen_US
dc.subject.stwTobin's Qen_US
dc.subject.stwUSAen_US
dc.titleDo stock price bubbles influence corporate investment?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn379981890en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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