Abstract
Grunfeld (1958), in his pioneering work on the determinants of corporate investment, has theorized that the market value of the firm, i.e., the value placed upon the firm by the securities markets, when taken in conjunction with an estimate of the replacement value of the physical assets of the firm, is a sensitive indicator of the expectations upon which corporate investment decisions are based. His analysis of the investment behavior of 11 large U.S. corporations during the years 1935–54 supported his theory. We, in this chapter, assume that the regression coefficient vector appearing in Grunfeld’s micro investment function is random across firms following a multivariate distribution, and use the panel data compiled by Grunfeld to illustrate the method developed in Chapter IV.
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© 1971 Springer-Verlag Berlin · Heidelberg
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Swamy, P.A.V.B. (1971). A Random Coefficient Investment Model. In: Statistical Inference in Random Coefficient Regression Models. Lecture Notes in Operations Research and Mathematical Systems, vol 55. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-80653-7_5
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DOI: https://doi.org/10.1007/978-3-642-80653-7_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-05603-4
Online ISBN: 978-3-642-80653-7
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