UNCERTAINTY AND INVESTMENT AN EMPIRICAL …不确定性和投资的实证…精品.pdfVIP

UNCERTAINTY AND INVESTMENT: AN EMPIRICAL INVESTIGATION USING DATA ON ANALYSTS’ PROFITS FORECASTS Stephen R. Bond Nuffield College, Oxford and Institute for Fiscal Studies Jason G. Cummins Division of Research and Statistics, Federal Reserve Board March 15, 2004 __________ We thank Nick Bloom, Darrel Cohen, Janice Eberly, Charlie Himmelberg, Christina Romer, David Romer, Anna Scherbina, Murtaza Syed and John Van Reenen for helpful discussions, and participants in seminars at Bergamo, Columbia, Federal Reserve Board, Hunter, NBER, Northwestern, and Oxford for useful comments. Financial support from the ESRC Centre for Public Policy at the Institute for Fiscal Studies is gratefully acknowledged. The views presented are solely those of the authors and do not necessarily represent those of the Board of Governors of the Federal Reserve System or its staff members. Abstract We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived from (1) the volatility in the firm’s stock returns; (2) disagreement among securities analysts in their forecasts of the firm’s future profits; and (3) the variance of forecast errors in analysts’ forecasts of the firm’s future profits. We consider two controls for expected profitability: (1) a standard measure of Brainard-Tobin’s q constructed from the firm’s stock market valuation; and (2) an alternative measure of the q ratio constructed from discounted forecasts of the firm’s future profits. Our sample consists of publicly-traded U.S. companies that were tracked by two or more securities analysts for at least four consecutive years between 1982 a