An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints

A-Tier
Journal: The Review of Financial Studies
Year: 2022
Volume: 35
Issue: 9
Pages: 4055-4104

Authors (2)

Andrew B Abel (not in RePEc) Stavros Panageas (University of Chicago)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We derive analytic solutions for the valuation, optimal investment, and optimal payout of a financially constrained firm. While marginal $q$ and average $q$ would be identically equal in the absence of financial constraints, they differ when financial constraints bind. We use analytic solutions to characterize the properties of regressions of investment on average $q$ and cash flow. The coefficient on cash flow is positive, but does not isolate the impact of the financial constraint, since it also partially reflects the impact of persistent profitability. The coefficient on average $q$ understates the impact of persistent profitability.

Technical Details

RePEc Handle
repec:oup:rfinst:v:35:y:2022:i:9:p:4055-4104.
Journal Field
Finance
Author Count
2
Added to Database
2026-01-28