Idiosyncratic and Common Shocks to Investment Decisions  

Oleh:

Schankerman, Mark

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 112 no. 482 (2002), page 766-785.
Topik: INVESTMENTS; idiosynchratic; common shocks; investment decisions
Fulltext: 766.pdf (146.74KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.8 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We show how microeconomic data on investment plans can be used to study the structure of risk firms face. Revisions of investment plans form a martingale and reveal the underlying shocks driving investment. We decompose revisions in investment plans into micro, sector and aggregate shocks, and exploit stock market data to distinguish between structural (value - related) shocks and measurement error in investment revisions. Using panel data for US firms, we find that micro shocks are not the dominant source of risk in investment decisions, and that much of the observed micro variation is actually due to heterogeneity in firm - level responses to aggregate shocks.

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