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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of the Japanese and International Economies.
Volume (Year): 22 (2008)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622903
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ogawa, K. & Kitasaka, S.I., 1995. "Market Valuation and the Q-Theory Investment," ISER Discussion Paper 0383, Institute of Social and Economic Research, Osaka University.
- Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
- Owen Lamont, .
"Investment Plans and Stock Returns.","
CRSP working papers
488, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Randall Morck & Andrei Shleifer & Robert W. Vishny, 1990. "The Stock Market and Investment: Is the Market a Sideshow?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 157-216.
- Hayashi, Fumio, 1982.
"Tobin's Marginal q and Average q: A Neoclassical Interpretation,"
Econometric Society, vol. 50(1), pages 213-24, January.
- Fumio Hayashi, 1981. "Tobin's Marginal q and Average a : A Neoclassical Interpretation," Discussion Papers 457, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Pakes, Ariel, 1985.
"On Patents, R & D, and the Stock Market Rate of Return,"
3436409, Harvard University Department of Economics.
- Pakes, Ariel, 1985. "On Patents, R&D, and the Stock Market Rate of Return," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 390-409, April.
- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
- Schiantarelli, F. & Georgoutsos, D., 1990. "Monopolistic competition and the Q theory of investment," European Economic Review, Elsevier, vol. 34(5), pages 1061-1078, July.
- Barro, Robert J, 1990.
"The Stock Market and Investment,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(1), pages 115-31.
- Galeotti, Marzio & Schiantarelli, Fabio, 1991. "Generalized Q Models for Investment," The Review of Economics and Statistics, MIT Press, vol. 73(3), pages 383-92, August.
- Blanchard, O. & Rhee, C. & Summers, L., 1990.
"The Stock Market, Profit And Investment,"
RCER Working Papers
233, University of Rochester - Center for Economic Research (RCER).
- Mark Schankerman, 2002. "Idiosyncratic and Common Shocks to Investment Decisions," Economic Journal, Royal Economic Society, vol. 112(482), pages 766-785, October.
- Lindenberg, Eric B & Ross, Stephen A, 1981. "Tobin's q Ratio and Industrial Organization," The Journal of Business, University of Chicago Press, vol. 54(1), pages 1-32, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.