The Bond Market's q

S-Tier
Journal: Quarterly Journal of Economics
Year: 2009
Volume: 124
Issue: 3
Pages: 1011-1056

Score contribution per author:

8.043 = (α=2.01 / 1 authors) × 4.0x S-tier

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

Abstract

I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. With aggregate U.S. data, the bond market's q fits the investment equation six times better than the usual measure of q, it drives out cash flows, and it reduces the implied adjustment costs by more than an order of magnitude. Theoretical interpretations for these results are discussed.

Technical Details

RePEc Handle
repec:oup:qjecon:v:124:y:2009:i:3:p:1011-1056.
Journal Field
General
Author Count
1
Added to Database
2026-01-29