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dc.contributor.authorGilchrist, Simonen
dc.contributor.authorHimmelberg, Charles P.en
dc.contributor.authorHuberman, Guren
dc.date.accessioned2012-08-17T14:26:17Z-
dc.date.available2012-08-17T14:26:17Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x177en
dc.subject.jelE22en
dc.subject.jelG31en
dc.subject.jelG32en
dc.subject.jelD92en
dc.subject.ddc330en
dc.subject.keywordinvestmenten
dc.subject.keywordstock marketen
dc.subject.keywordbubbleen
dc.subject.keyworddispersionen
dc.subject.stwBörsenkursen
dc.subject.stwBubblesen
dc.subject.stwInvestitionen
dc.subject.stwTobin's Qen
dc.subject.stwUSAen
dc.titleDo stock price bubbles influence corporate investment?-
dc.typeWorking Paperen
dc.identifier.ppn379981890en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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