EITM: Firm-Specific Capital and the Secular Rise of Tobin's Q

EITM：企业特定资本和托宾 Q 的长期崛起

• 批准号: 0339150
• 负责人: Boyan Jovanovic
• 金额: --
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2004
• 资助国家: 美国
• 起止时间: 2004-05-15 至 2009-04-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0339150&HistoricalAwards=false
• 关键词: EITM; Firm; Specific; Capital; Secular

The project studies the upward trend in stock market valuations of firms over the last century. It assembles and analyzes a massive data set on firm balance sheets and stock market valuations. These data are used to test and develop a theory that rising stock market valuations are due to rising firm-specificity of assets. A rising specificity of assets makes it easier to transfer more rents to the owners of the firm. The rise of management in general and, more specifically, the growing importance of the information processing role of managers played a key role in this result.Market to book value of firms (Tobin's Q) has risen a lot since 1980. The usual explanation is an increase in the importance of intangible investments and organization capital. These investments are not on the books of firms, and Q's are thereby biased upwards. There are two reasons why intangibles are not likely to be the whole story. First, the rise in Q's has happened within sectors and, in particular, in manufacturing sectors. And, second, the rise is not a new-economy phenomenon but is a century-long trend, and this includes the traditional sectors. This project hypothesizes that some of the rise in Q's is due to a steadily rising firm-specificity of assets. Evidence for rising specificity is a dramatic reduction in labor turnover over the century, and a reduction in entries and exits of firms that result in the dispersal of physical and human assets.Like the intangibles hypothesis, this theory also implies that as a percentage of the tangible capital stock earnings ought to have risen - and they have by more than 60 percent since the late 1920's.But this project's model of the division of the rents - based on auction theory - leads to a different test. The model will be one in which a firm's profits depend on how efficiently its managers can procure the human and physical capital that the firm specifically needs. The specificity of the assets to the firm will mean that there will be a rent that is somehow split between the firm and the factors in question. The test relies on the cross-section variability of Q 's and the earnings to capital. These measure the dispersion in firms' abilities to procure high quality assets at a low price. In this model a rise in the dispersion of Q 's signals a rise in the specificity of assets. The investigators estimate the model using macroeconomic time series on profit rates, the skill premium, capital and labor inputs, and GDP from 1929 to 2001 and find that the data are consistent with increasing firm specificity of capital. This project will improve the model and refine the data.Broader impacts:Wild swings in the market can have a strong impact on the real economy, and so it is important to know if the market is overvalued. This analysis shows that one part of the rise in the market is warranted by fundamentals - in this case a rise in the shareholder's portion of the firm's rents.

该项目研究了上个世纪公司股票市场估值的上升趋势。 它汇总并分析了有关公司资产负债表和股票市场估值的大量数据。 这些数据用于测试和发展一种理论，即股票市场估值的提高是由于资产的特异性提高所致。 资产的特异性不断提高，使得更容易将更多的租金转让给公司的所有者。 总体而言，管理人员的兴起，管理人员的信息处理作用的重要性在这一结果中起着关键作用。自1980年以来，企业的账面价值（Tobin's Q）的市场已经增加了很多。通常的解释是无形投资和组织资本的重要性。这些投资不在公司的账簿上，因此Q偏向于偏见。 无形式不太可能成为整个故事的原因有两个。首先，Q的兴起发生在行业内，尤其是在制造业中。其次，崛起不是一种新经济现象，而是一个世纪的趋势，其中包括传统部门。 该项目假设Q的某些上升是由于资产的公司特异性稳步上升所致。 特异性提高的证据是整个世纪中劳动力流动的急剧减少，以及企业的条目和出口减少，导致企业的分散，就像无形的假设一样，这种理论也暗示，作为有形资本收入的一定百分比，这些股票的收入是risen的一定程度，并且是基于60％以后的1920年代以后的划分。理论 - 导致不同的测试。该模型将是公司的利润取决于其经理可以采取公司特定需要的人力和物理资本的有效性。资产对公司的特异性将意味着将在公司和所讨论的因素之间以某种方式分配租金。该测试依赖于Q的横截面变异性和资本的收益。这些衡量了企业以低价购买高质量资产的能力的分散。 在此模型中，Q的分散体的增长信号升高了资产的特异性。 调查人员使用宏观经济时间序列估算了该模型的利润率，技能溢价，资本和劳动力投入以及1929年至2001年的GDP，发现数据与提高的资本特异性一致。 该项目将改善模型并完善数据。Broader的影响：市场上的野外摇摆可能会对现实经济产生强大的影响，因此，重要的是要知道市场是否被高估了。 该分析表明，基本面有必要为市场上升的一部分 - 在这种情况下，股东租金中的一部分增加。