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Business and Economics > Investments: Stocks

You are looking at 1 - 6 of 6 items for :

  • Type: Journal Issue x
  • Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions x
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Cover IMF Working Papers
Does the Stock Market Boost Firm Innovation?: Evidence from Chinese Firms
Hui He
,
Hanya Li
, and
Jinfan Zhang
The paper analyses the effect of the stock market on firm innovation through the lens of initial public offering (IPO) using uniquely matched Chinese firm-level data. We find that IPOs lead to an increase in both the quantity and quality of firm innovation activity. In addition, IPOs expand a firm’s scope of innovation beyond its core business. The impact of IPOs on firm innovation varies across financial constraints, corporate governance, and ownership structures. Our results further illustrate that IPOs induce a firm to increase the number of inventors and enable better retention of existing inventors after the IPO. Finally, we show that the enhanced innovation activity resulting from IPOs increases a firm’s Tobin’s Q in the long run.
Keywords:
WP; IPO firm; natural logarithm; external finance; IPO; Innovation; Financial Constraint; Corporate Governance; State Ownership; China; IPO year; IPO event; IPO decision; IPO benefit; innovation performance; Initial public offering; Stock markets; Stocks; Public enterprises; Probit models
Cover IMF Working Papers
Habit Formation and Persistence in Individual Asset Portfolio Holdings: The Case of Italy
Ms. Sònia Muñoz
This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a particularly important feature of household portfolio behavior: the infrequency of portfolio allocation changes. I find evidence of strong unobserved heterogeneity through time-varying error components, which I interpret as taste persistence in both the risky and safe asset participation decisions. I estimate the model using the method of maximum smoothly simulated likelihood.
Keywords:
WP; dependent variable; Portfolio Allocations; Incomplete Markets; Stockholding Puzzle; Habits; Multiperiod Multinomial Probit; risky assets; safe assets; financial asset allocation decision; covariance matrix; simulation estimation method; portfolio decision; Stocks; Bonds; Asset allocation; Stock markets; Logit models
Cover IMF Working Papers
Wealth Effects in Europe: A Tale of Two Countries (Italy and the United Kingdom)
Ms. Sònia Muñoz
This paper investigates the increasing exposure of European households to risky financial assets and the consequent impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their financial structure and capital markets. I estimate an endogenous switching model with bivariate switching to overcome two important obstacles in this line of research, namely, the consumption Capital Asset Pricing Model Puzzle and the excess sensitivity puzzle. The results show that there are wealth effects in both countries. I find some evidence of liquidity constraints only in Italy and habit formation exclusively in the United Kingdom.
Keywords:
WP; consumption function; monetary policy; Wealth effects; consumption behavior; household portfolio; switching regressions; selectivity models; European capital markets; liquidity constraint; wealth effect; risky assets; transmission mechanism; life-cycle model; risk asset puzzle; utility function; smoothing consumption; consumption growth; Consumption; Income; Stocks; Liquidity; Capital markets; Europe; consumption capital asset pricing model puzzle; consumption function equation; selection equation; Asset prices
Cover IMF Working Papers
Adjustment Costs, Irreversibility and Investment Patterns in African Manufacturing
Mr. Arne L Bigsten
This paper examines dynamic patterns of investment in Cameroon, Ghana, Kenya, Zambia and Zimbabwe, assessing the consistency of those patterns with different adjustment cost structures. Using survey data on manufactured firms, we document the importance of zero investment episodes and lumpy investment. The proportion of firms experiencing large investment spikes is significant in explaining aggregate manufacturing investment. Taken together, evidence from descriptive statistics, average investment regressions modeling the response to capital imbalance, and transition data analysis indicate that irreversibility is an important factor considered by firms when making investment plans. The picture is not unanimous however, and some explanations for the mixed results are proposed.
Keywords:
WP; adjustment cost; cost function; investment rate; African manufacturing; investment; adjustment costs; duration dependence; nonparametric methods; unobserved heterogeneity; firm investment model; investment spike; mandated investment; investment behavior; Stocks; Manufacturing; Agroindustries; Employment; Logit models; Sub-Saharan Africa
Cover IMF Working Papers
Fixed Capital Adjustment: Is Latin America Different? Evidence from the Colombian and Mexican Manufacturing Sectors
Mr. R. G Gelos
and
Mr. Alberto Isgut
This paper examines capital adjustment patterns using two large and largely novel data sets from the manufacturing sectors of Colombia and Mexico. The findings show that investment patterns in these countries resemble those reported for the United States to a surprising extent. Capital adjustments beyond maintenance investment occur only rarely, but large spikes account for a significant fraction of total investment. Although duration models do not provide strong evidence for the presence of substantial fixed costs, nonparametric adjustment function estimates reveal the presence of irreversibilities in investment. These irreversibilities are important for understanding aggregate investment behavior.
Keywords:
WP; investment rate; investment spike; capital stock; equipment investment; hazard function; Investment; lumpiness; irreversibilities; nonconvexities; manufacturing; panel data; investment episode; Stocks; Logit models; Producer price indexes; Productivity
Cover IMF Working Papers
Investment, Uncertainty, and Irreversibility in Ghana
Ms. Catherine A Pattillo
Panel data on Ghanaian manufacturing firms are used to test predictions from models of irreversible investment under uncertainty. Information on the entrepreneur’s subjective probability distribution over future demand for the firm’s products is used to construct the expected variance of demand, which is used as a measure of uncertainty. Empirical results support the prediction that firms wait to invest until the marginal revenue product of capital reaches a firm-specific hurdle level. Moreover, higher uncertainty raises the hurdle level that triggers investment, and uncertainty has a negative effect on investment levels that is greater for firms with more irreversible investment.
Keywords:
WP; investment trigger; capital stock; cost of capital; investment; uncertainty; irreversible; Ghana; firm investment model; hurdle level; uncertainty variable; firm owner; Manufacturing; Stocks; Private investment; Probit models; Capital adequacy requirements