What is the Investment Loss due to Uncertainty?
Theodore Panagiotidis () and
Panagiotis Printzis ()
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Panagiotis Printzis: Department of Business Administration, University of Macedonia, Greece
Working Paper series from Rimini Centre for Economic Analysis
We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is examined within a dynamic investment model. Robust GMM estimates of the investment rate model reveal a high degree of heterogeneity among these sectors. Overall uncertainty affects negatively investment performance and this effect substantially increased in the years of crisis. Agriculture and Mining are the least affected and the most affected ones include Manufacturing, Real Estate and Hotels. Focusing on the response of investment to uncertainty, it emerges that (relative) smaller firms are affected more compared to larger ones.
Keywords: Greek firms; Uncertainty; Volatility; GMM; Panel data (search for similar items in EconPapers)
JEL-codes: C23 D22 D81 D92 G31 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:19-06
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