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Noisy share prices and the Q model of investment.

Abstract:

We consider to what extent the empirical failings of the Q model of investment can be attributed to the use of share prices to measure average q. We show that the usual empirical formulation may fail to identify the Q model when stock market valuations deviate from the present value of expected net distributions in ways that are consistent with weak and semi-strong forms of the Efficient Markets Hypothesis. We show that the structural parameters of the Q model can stil be identified in this c...

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Publication date:
2001-01-01
URN:
uuid:b426df78-29ce-44c7-b670-dc17d2a0f3b3
Local pid:
oai:economics.ouls.ox.ac.uk:12920
Language:
English

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