Information, investment, and the stock market: A study of investment revision data of Japanese manufacturing industries
AbstractWe examined investment behavior in the Japanese manufacturing industry using investment revision data to analyze investment behavior from a fresh angle. We tested the martingale investment hypothesis and then the q-theory of investment by looking at the response of stock return and investment to news arriving at firms. The martingale hypothesis was accepted at early stage of investment planning, but not at later stages. We also found evidence for the validity of the q-theory hypothesis. Investment was responsive to profit rate revision and sales revision, but stock return responded only to profit rate revision. Further investigation revealed that investment was also motivated by expansion of market share for sales, especially for industries with rapid technological progress. J. Japanese Int. Economies 22 (4) (2008) 663-676.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of the Japanese and International Economies.
Volume (Year): 22 (2008)
Issue (Month): 4 (December)
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Investment revision Martingale Stock return q theory Market share Flexible accelerator theory;
Other versions of this item:
- Kazuo Ogawa & Kazuyuki Suzuki, 2007. "Information, Investment, and the Stock Market: A Study of Investment Revision Data of Japanese Manufacturing Industries," ISER Discussion Paper 0681, Institute of Social and Economic Research, Osaka University.
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