Shifting sentiments in firm investment: an application to the oil industry
AbstractRecent developments in the oil and gas industry suggest that investment behaviour is not necessarily changeless over time. We propose a micro-econometric procedure to investigate the stability of investment behaviour at the firm level. Applying system Generalized Method of Moments (GMM) on a panel data set for 253 oil and gas companies over 14 years, we estimate accelerator models of investment with error-correction. Robust econometric evidence indicates a structural break in oil and gas investment in 1998. The process of capital formation over the last few years is more flexible than before, with significant and material changes in the role of explanatory factors like cash flow and uncertainty.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 21 (2011)
Issue (Month): 7 ()
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Other versions of this item:
- Mohn, Klaus & Misund, Bård, 2008. "Shifting sentiments in Firm Investment: An Application to the Oil Industry," UiS Working Papers in Economics and Finance 2009/12, University of Stavanger.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- L72 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Other Nonrenewable Resources
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