The Bond Market's q

Thomas Philippon ()

The Quarterly Journal of Economics, 2009, vol. 124, issue 3, 1011-1056

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.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (96)

Downloads: (external link)
http://hdl.handle.net/10.1162/qjec.2009.124.3.1011 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Bond Market's q (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:qjecon:v:124:y:2009:i:3:p:1011-1056.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

The Quarterly Journal of Economics is currently edited by Robert J. Barro, Lawrence F. Katz, Nathan Nunn, Andrei Shleifer and Stefanie Stantcheva

More articles in The Quarterly Journal of Economics from President and Fellows of Harvard College
Bibliographic data for series maintained by Oxford University Press ().