메뉴 건너뛰기




Volumn 124, Issue 3, 2009, Pages 1011-1056

The bond market's q*

Author keywords

[No Author keywords available]

Indexed keywords


EID: 72449120021     PISSN: 00335533     EISSN: 15314650     Source Type: Journal    
DOI: 10.1162/qjec.2009.124.3.1011     Document Type: Article
Times cited : (161)

References (67)
  • 2
    • 0001543921 scopus 로고
    • The present value of profits and cyclical movements in investment
    • Abel, A. B., and O. J. Blanchard, "The Present Value of Profits and Cyclical Movements in Investment," Econometrica, 54 (1986), 249-273.
    • (1986) Econometrica , vol.54 , pp. 249-273
    • Abel, A.B.1    Blanchard, O.J.2
  • 3
    • 33747737532 scopus 로고    scopus 로고
    • Investment, valuation, and growth options
    • Wharton
    • Abel, A. B., and J. C. Eberly, "Investment, Valuation, and Growth Options," Working Paper, Wharton, 2005.
    • (2005) Working Paper
    • Abel, A.B.1    Eberly, J.C.2
  • 4
    • 36649034710 scopus 로고    scopus 로고
    • The risk-adjusted cost of financial distress
    • Almeida, H., and T. Philippon, "The Risk-Adjusted Cost of Financial Distress," Journal of Finance, 62 (2007), 2557-2586.
    • (2007) Journal of Finance , vol.62 , pp. 2557-2586
    • Almeida, H.1    Philippon, T.2
  • 5
    • 0038465465 scopus 로고    scopus 로고
    • How costly is financial (not economic) distress? Evidence from highly leveraged transactions that became distressed
    • Andrade, G., and S. Kaplan, "How Costly Is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed," Journal of Finance, 53 (1998), 1443-1493. (Pubitemid 128344228)
    • (1998) Journal of Finance , vol.53 , Issue.5 , pp. 1443-1493
    • Andrade, G.1    Kaplan, S.N.2
  • 6
    • 27344455394 scopus 로고    scopus 로고
    • Modeling and measuring organization capital
    • Atkeson, A., and P. J. Kehoe, "Modeling and Measuring Organization Capital," Journal of Political Economy, 113 (2005), 1026-1053.
    • (2005) Journal of Political Economy , vol.113 , pp. 1026-1053
    • Atkeson, A.1    Kehoe, P.J.2
  • 8
    • 27244445851 scopus 로고    scopus 로고
    • Stocks as lotteries: the implications of probability weighting for security prices
    • Yale University
    • Barberis, N., and M. Huang, "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," Working Paper, Yale University 2007.
    • (2007) Working Paper
    • Barberis, N.1    Huang, M.2
  • 9
    • 84977364496 scopus 로고
    • Agency costs, net worth and business fluctuations
    • Bernanke, B., and M. Gertler, "Agency Costs, Net Worth and Business Fluctuations," American Economic Review, 79 (1989), 14-31.
    • (1989) American Economic Review , vol.79 , pp. 14-31
    • Bernanke, B.1    Gertler, M.2
  • 10
    • 0001114148 scopus 로고
    • Nonmonetary effects of the financial crisis in the propagation of the great depression
    • Bernanke, B. S., "Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression," American Economic Review, 73 (1983), 257-276.
    • (1983) American Economic Review , vol.73 , pp. 257-276
    • Bernanke, B.S.1
  • 12
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and M. Scholes, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81 (1973), 637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 14
    • 0000898092 scopus 로고    scopus 로고
    • Aggregate investment
    • J. B. Taylor and M. Woodford, eds., Amsterdam: Elsevier Science, North Holland
    • Caballero, R., "Aggregate Investment," in Handbook of Macroeconomics, J. B. Taylor and M. Woodford, eds., vol.IB (Amsterdam: Elsevier Science, North Holland, 1999).
    • (1999) Handbook of Macroeconomics , vol.IB
    • Caballero, R.1
  • 15
    • 0000047175 scopus 로고    scopus 로고
    • Explaining investment dynamics in U.S. manufacturing: A generalized (S, s) approach
    • Caballero, R., and E. Engle, "Explaining Investment Dynamics in U.S. Manufacturing: A Generalized (S, s) Approach," Econometrica, 67 (1999), 783-826.
    • (1999) Econometrica , vol.67 , pp. 783-826
    • Caballero, R.1    Engle, E.2
  • 16
    • 0002519023 scopus 로고    scopus 로고
    • Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
    • Campbell, J. Y., M. Lettau, B. Malkiel, and Y. Xu, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, 56 (2001), 1-43. (Pubitemid 33581652)
    • (2001) Journal of Finance , vol.56 , Issue.1 , pp. 1-43
    • Campbell, J.Y.1    Lettau, M.2    Malkiel, B.G.3    Xu, Y.4
  • 17
    • 0344153911 scopus 로고    scopus 로고
    • Equity volatility and corporate bond yields
    • Campbell, J. Y., and G. B. Taksler, "Equity Volatility and Corporate Bond Yields," Journal of Finance, 58 (2003), 2321-2349.
    • (2003) Journal of Finance , vol.58 , pp. 2321-2349
    • Campbell, J.Y.1    Taksler, G.B.2
  • 19
    • 0030452013 scopus 로고    scopus 로고
    • A cross-sectional test of an investment-based asset pricing model
    • Cochrane, J. H., "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, 104 (1996), 572-621. (Pubitemid 27071057)
    • (1996) Journal of Political Economy , vol.104 , Issue.3 , pp. 572-621
    • Cochrane, J.H.1
  • 20
    • 33646803471 scopus 로고    scopus 로고
    • The rise in firm-level volatility: Causes and consequences
    • M. Gertler and K. Rogoff, eds. Cambridge, MA: NBER
    • Comin, D., and T. Philippon, "The Rise in Firm-Level Volatility: Causes and Consequences," in Macroeconomics Annual, M. Gertler and K. Rogoff, eds. (Cambridge, MA: NBER, 2005).
    • (2005) Macroeconomics Annual
    • Comin, D.1    Philippon, T.2
  • 21
    • 33747747685 scopus 로고    scopus 로고
    • Investment behavior, observable expectations, and internal funds
    • Cumins, J. G., K. A. Hasset, and S. D. Oliner, "Investment Behavior, Observable Expectations, and Internal Funds," American Economic Review, 96 (2006), 796-810.
    • (2006) American Economic Review , vol.96 , pp. 796-810
    • Cumins, J.G.1    Hasset, K.A.2    Oliner, S.D.3
  • 22
    • 34250889279 scopus 로고    scopus 로고
    • Volatility and dispersion in business growth rates: Publicly traded versus privately held firms
    • D. Acemoglu, K. Rogoff, and M. Woodford, eds. Cambridge, MA: NBER
    • Davis, S., J. Haltiwanger, R. Jarmin, and J. Miranda, "Volatility and Dispersion in Business Growth Rates: Publicly Traded versus Privately Held Firms," in Macroeconomics Annual, D. Acemoglu, K. Rogoff, and M. Woodford, eds. (Cambridge, MA: NBER, 2006).
    • (2006) Macroeconomics Annual
    • Davis, S.1    Haltiwanger, J.2    Jarmin, R.3    Miranda, J.4
  • 24
    • 4043166999 scopus 로고    scopus 로고
    • Princeton, NJ: Princeton University Press
    • Duffle, D., and K. J. Singleton, Credit Risk (Princeton, NJ: Princeton University Press, 2003).
    • (2003) Credit Risk
    • Duffle, D.1    Singleton, K.J.2
  • 25
    • 0033652771 scopus 로고    scopus 로고
    • Measurement error and the relationship between investment and Q
    • Erickson, T, and T. M. Whited, "Measurement Error and the Relationship between Investment and Q," Journal of Political Economy, 108 (2000), 1027-1057.
    • (2000) Journal of Political Economy , vol.108 , pp. 1027-1057
    • Erickson, T.1    Whited, T.M.2
  • 26
    • 33750499715 scopus 로고    scopus 로고
    • On the accuracy of different measures of Q
    • -, "On the Accuracy of Different Measures of Q," Financial Management, 35 (2006), 5-33.
    • (2006) Financial Management , vol.35 , pp. 5-33
  • 27
    • 33749009107 scopus 로고
    • Stock returns, real activity, inflation, and money
    • Fama, E. F., "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, 71 (1981), 545-565.
    • (1981) American Economic Review , vol.71 , pp. 545-565
    • Fama, E.F.1
  • 30
    • 20444503383 scopus 로고    scopus 로고
    • Do stock price bubbles influence corporate investment?
    • DOI 10.1016/j.jmoneco.2005.03.003, PII S0304393205000437
    • Gilchrist, S., C. P. Himmelberg, and G. Huberman, "Do Stock Price Bubbles Influence Corporate Investment?" Journal of Monetary Economics, 52 (2005), 805-827. (Pubitemid 40829533)
    • (2005) Journal of Monetary Economics , vol.52 , Issue.4 SPEC. ISS. , pp. 805-827
    • Gilchrist, S.1    Himmelberg, C.P.2    Huberman, G.3
  • 31
    • 77954058583 scopus 로고    scopus 로고
    • Investment and the cost of capital: New evidence from the corporate bond market
    • Gilchrist, S., and E. Zakrajsek, "Investment and the Cost of Capital: New Evidence from the Corporate Bond Market," NBER Working Paper No. 13174, 2007.
    • (2007) NBER Working Paper No. 13174
    • Gilchrist, S.1    Zakrajsek, E.2
  • 32
    • 0012875458 scopus 로고    scopus 로고
    • Financing investment
    • Gomes, J. F, "Financing Investment," American Economic Review, 91 (2001), 1263-1285.
    • (2001) American Economic Review , vol.91 , pp. 1263-1285
    • Gomes, J.F.1
  • 33
    • 0040362553 scopus 로고    scopus 로고
    • How big are the tax benefits of debt?
    • Graham, J. R., "How Big Are the Tax Benefits of Debt?" Journal of Finance, 55 (2000), 1901-1941.
    • (2000) Journal of Finance , vol.55 , pp. 1901-1941
    • Graham, J.R.1
  • 34
    • 33751234796 scopus 로고    scopus 로고
    • Capital structure, credit risk, and macroeconomic conditions
    • DOI 10.1016/j.jfineco.2005.10.003, PII S0304405X06001115
    • Hackbarth, D., J. Miao, and E. Morellec, "Capital Structure, Credit Risk, and Macroeconomic Conditions," Journal of Financial Economics, 82 (2006), 519-550. (Pubitemid 44780605)
    • (2006) Journal of Financial Economics , vol.82 , Issue.3 , pp. 519-550
    • Hackbarth, D.1    Miao, J.2    Morellec, E.3
  • 35
    • 0001586150 scopus 로고    scopus 로고
    • The stock market and capital accumulation
    • Hall, R. E., "The Stock Market and Capital Accumulation," American Economic Review, 91 (2001), 1185-1202.
    • (2001) American Economic Review , vol.91 , pp. 1185-1202
    • Hall, R.E.1
  • 36
    • 72449189279 scopus 로고    scopus 로고
    • Corporate earnings track the competitive benchmark
    • -, "Corporate Earnings Track the Competitive Benchmark," NBER Working Paper 10150, 2003.
    • (2003) NBER Working Paper 10150
  • 37
    • 4043098319 scopus 로고    scopus 로고
    • Measuring factor adjustment costs
    • -, Measuring Factor Adjustment Costs," Quarterly Journal of Economics, 119 (2004), 899-927.
    • (2004) Quarterly Journal of Economics , vol.119 , pp. 899-927
  • 39
    • 0000939170 scopus 로고
    • Tobin's marginal q and average q: A neoclassical interpretation
    • Hayashi, F., "Tobin's Marginal q and Average q: A Neoclassical Interpretation," Econometrica, 50 (1982), 213-224.
    • (1982) Econometrica , vol.50 , pp. 213-224
    • Hayashi, F.1
  • 41
    • 72449200765 scopus 로고    scopus 로고
    • Is the Corporate Bond Market Foward Looking?
    • Brandeis University
    • Hilscher, J., "Is the Corporate Bond Market Foward Looking?" Working Paper, Brandeis University, 2007.
    • (2007) Working Paper
    • Hilscher, J.1
  • 42
    • 0000921148 scopus 로고
    • Capital theory and investment behavior
    • Jorgenson, D. W., "Capital Theory and Investment Behavior," American Economic Review, 53 (1963), 247-259.
    • (1963) American Economic Review , vol.53 , pp. 247-259
    • Jorgenson, D.W.1
  • 43
    • 0009450773 scopus 로고    scopus 로고
    • Why wait? A century of life before IPO
    • Jovanovic, B., and P. L. Rousseau, "Why Wait? A Century of Life before IPO," American Economic Review Papers and Proceedings, 91 (2001), 336-341. (Pubitemid 33595771)
    • (2001) American Economic Review , vol.91 , Issue.2 , pp. 336-341
    • Jovanovic, B.1    Rousseau, P.L.2
  • 45
    • 22544483694 scopus 로고    scopus 로고
    • Princeton, NJ: Princeton University Press
    • Lando, D., Credit Risk Modeling (Princeton, NJ: Princeton University Press, 2004).
    • (2004) Credit Risk Modeling
    • Lando, D.1
  • 46
    • 0039184871 scopus 로고
    • Bond prices, yield spreads, and optimal capital structure with default risk
    • IBER, University of California, Berkeley
    • Leland, H. E., "Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk," Working Paper 240, IBER, University of California, Berkeley, 1994.
    • (1994) Working Paper 240
    • Leland, H.E.1
  • 47
    • 0002350933 scopus 로고    scopus 로고
    • Agency costs, risk management, and capital structure
    • -, "Agency Costs, Risk Management, and Capital Structure," Journal of Finance, 53 (1998), 1213-1243. (Pubitemid 128348168)
    • (1998) Journal of Finance , vol.53 , Issue.4 , pp. 1213-1243
    • Leland, H.E.1
  • 48
    • 33646754875 scopus 로고    scopus 로고
    • Predictions of default probabilities in structural models of debt
    • -, "Predictions of Default Probabilities in Structural Models of Debt," Journal of Investment Management, 2 (2004), 5-20.
    • (2004) Journal of Investment Management , vol.2 , pp. 5-20
  • 49
    • 0039021357 scopus 로고    scopus 로고
    • Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads
    • Leland, H. E., and K. B. Toft, "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, 51 (1996), 9871019.
    • (1996) Journal of Finance , vol.51 , pp. 9871019
    • Leland, H.E.1    Toft, K.B.2
  • 50
    • 0036147289 scopus 로고    scopus 로고
    • Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment
    • Lettau, M., and S. Ludvigson, "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," Journal of Monetary Economics, 49 (2002), 31-66.
    • (2002) Journal of Monetary Economics , vol.49 , pp. 31-66
    • Lettau, M.1    Ludvigson, S.2
  • 51
    • 0000186211 scopus 로고
    • Investment under uncertainty
    • Lucas, R. E., and E. C. Prescott, "Investment under Uncertainty," Econometrica, 39 (1971), 659-682.
    • (1971) Econometrica , vol.39 , pp. 659-682
    • Lucas, R.E.1    Prescott, E.C.2
  • 53
    • 0000808665 scopus 로고
    • On the pricing of corporate debt: The risk structure of interest rates
    • Merton, R. C., "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, 29 (1974), 449-470.
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.C.1
  • 54
    • 34547801713 scopus 로고    scopus 로고
    • Equilibrium underdiversification and the preference for skewness
    • Mitton, T., and K. Vorkink, "Equilibrium Underdiversification and the Preference for Skewness," Review of Financial Studies, 20 (2007), 1255-1288.
    • (2007) Review of Financial Studies , vol.20 , pp. 1255-1288
    • Mitton, T.1    Vorkink, K.2
  • 55
    • 0000294096 scopus 로고
    • The cost of capital, corporation finance and the theory of investment
    • Modigliani, F., and M. H. Miller, "The Cost of Capital, Corporation Finance and the Theory of Investment," American Economic Review, 48 (1958), 261-297.
    • (1958) American Economic Review , vol.48 , pp. 261-297
    • Modigliani, F.1    Miller, M.H.2
  • 56
    • 84944830772 scopus 로고
    • The capital structure puzzle
    • Myers, S. C., "The Capital Structure Puzzle," Journal of Finance, 39 (1984), 575-592.
    • (1984) Journal of Finance , vol.39 , pp. 575-592
    • Myers, S.C.1
  • 57
    • 72449181001 scopus 로고    scopus 로고
    • Inflation and the Price of Real Assets
    • Chicago GSB
    • Piazzesi, M., and M. Schneider, "Inflation and the Price of Real Assets," Working Paper, Chicago GSB, 2006.
    • (2006) Working Paper
    • Piazzesi, M.1    Schneider, M.2
  • 58
    • 84960606812 scopus 로고
    • The dynamic demand for capital and labor
    • Shapiro, M. D., The Dynamic Demand for Capital and Labor," Quarterly Journal of Economics, 101 (1986), 513-542.
    • (1986) Quarterly Journal of Economics , vol.101 , pp. 513-542
    • Shapiro, M.D.1
  • 59
    • 0004179594 scopus 로고    scopus 로고
    • Princeton, NJ: Princeton University Press
    • Shiller, R. J., Irrational Exuberance (Princeton, NJ: Princeton University Press, 2000).
    • (2000) Irrational Exuberance
    • Shiller, R.J.1
  • 60
    • 0010104543 scopus 로고    scopus 로고
    • Rational capital budgeting in an irrational world
    • DOI 10.1086/209699
    • Stein, J. C., "Rational Capital Budgeting in an Irrational World," Journal of Business, 69 (1996), 429-455. (Pubitemid 126314347)
    • (1996) Journal of Business , vol.69 , Issue.4 , pp. 429-455
    • Stein, J.C.1
  • 61
    • 0000076932 scopus 로고
    • New indexes of coincident and leading economic indicators
    • O. J. Blanchard and S. Fisher, eds. Cambridge, MA: NBER
    • Stock, J. H., and M. W. Watson, "New Indexes of Coincident and Leading Economic Indicators," in NBER Macroeconomics Annual 1989, O. J. Blanchard and S. Fisher, eds. (Cambridge, MA: NBER, 1989).
    • (1989) NBER Macroeconomics Annual 1989
    • Stock, J.H.1    Watson, M.W.2
  • 62
    • 2442579426 scopus 로고    scopus 로고
    • Forecasting output and inflation: The role of asset prices
    • DOI 10.1257/002205103322436197
    • -, "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, 41 (2003), 788-829. (Pubitemid 38706208)
    • (2003) Journal of Economic Literature , vol.41 , Issue.3 , pp. 788-829
    • Stock, J.H.1    Watson, M.W.2
  • 63
    • 0002742432 scopus 로고
    • Taxation and corporate investment: A Q-theory approach
    • Summers, L. H., "Taxation and Corporate Investment: A Q-Theory Approach," Brookings Papers on Economic Activity, 1 (1981), 67-127.
    • (1981) Brookings Papers on Economic Activity , vol.1 , pp. 67-127
    • Summers, L.H.1
  • 64
    • 38249044049 scopus 로고
    • Finite state markov-chain approximations to univariate and vector autoregressions
    • Tauchen, G., "Finite State Markov-Chain Approximations to Univariate and Vector Autoregressions," Economics Letters, 20 (1986), 177-181.
    • (1986) Economics Letters , vol.20 , pp. 177-181
    • Tauchen, G.1
  • 65
    • 0036313273 scopus 로고    scopus 로고
    • Is lumpy investment relevant for the business cycle?
    • Thomas, J. K., "Is Lumpy Investment Relevant for the Business Cycle?" Journal of Political Economy, 110 (2002), 508-534.
    • (2002) Journal of Political Economy , vol.110 , pp. 508-534
    • Thomas, J.K.1
  • 66
    • 0002661755 scopus 로고
    • A general equilibrium approach to monetary theory
    • Tobin, J., "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, 1 (1969), 15-29.
    • (1969) Journal of Money, Credit and Banking , vol.1 , pp. 15-29
    • Tobin, J.1
  • 67
    • 0041488892 scopus 로고    scopus 로고
    • What drives firm-level stock returns?
    • Vuolteenaho, T, "What Drives Firm-Level Stock Returns?" Journal of Finance, 57 (2002), 233-264. (Pubitemid 36931762)
    • (2002) Journal of Finance , vol.57 , Issue.1 , pp. 233-264
    • Vuolteenaho, T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.