Uncertainty determinants of firm investment

Baum, Christopher F.; Çağlayan, Mustafa; Talavera, Oleksandr

doi:10.1016/j.econlet.2007.05.004

Cited by 63 publications

(92 citation statements)

References 14 publications

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“…8 We use Baum et al"s (2008) approach to compute the daily stock volatility that is the square of the daily changes the accounting year t to capture firm-level uncertainty is attractive since it provides a forward looking indicator of firm"s investment opportunity in the next year t+1. 9 In addition, the stock volatility is essentially the standard deviation, one scale measure capturing the impact of different potential sources of uncertainty such as taxes and regulations on the firm"s value and Baum et al (2008)). and show the highest volatility of stock returns ( =17.886) among all manufacturing companies.…”

Section: Data and Variable Specificationmentioning

confidence: 99%

“…The firm-level investment model has been used by Bloom et al (2007) and Baum et al (2008), among others. We will first estimate a model in which oil price shock terms do not appear and then a model in which oil shock terms are introduced.…”

Section: The Modelmentioning

confidence: 99%

“…The oil price is the monthly refiner acquisition cost (RAC) of imported crude oil as provided by the U.S. Department of Energy since January 1974. We extended the price series back to January 1962 and deflated the data using the U.S. CPI based on January 1983 dollars as in Barsky and Kilian (2002) We utilize the daily stock returns to compute annual stock volatilities, denoted s it , for the firm i in the fiscal year t via the method proposed by Baum et al (2008). 8 The use of stock volatilities in 6 The robustness results, reported with U.S. PPI as deflator instead of the CPI, are similar indicating the homogeneity between the PPI-oil and RAC.…”

Section: Data and Variable Specificationmentioning

confidence: 99%

“…where s it denotes the measure of firm i"s standard deviation (volatility) of daily stock returns of the past 12 months (Baum, Caglaynan, and Talavera (2008)). For given the oil price shock/uncertainty measure (12) increases as the magnitude of oil price shock increases and hence the uncertainty faced by firm i is allowed to reflect the size of oil price shock.…”

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confidence: 99%

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Oil Price Shocks, Firm Uncertainty, and Investment

2011

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It is found that an oil price shock in interaction with a firm"s stock price volatility has a negative effect on investment by that firm, both in the short and long-term. In the presence of this interaction term, linear variables in oil price shocks are not statistically significant. There is evidence that for the short-term effects of the interaction variable, the particular magnitude of an oil price shock may not be as important as the fact that there is an oil price shock. For the longterm effects, however, the magnitude of the oil price shock does matter. Over a longer horizon, oil price shocks depress investment more at firms facing greater uncertainty. An increase in firm stock price volatility continues to reduce the link between sales growth and investment in the presence of oil price shocks as in Bloom et al.

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Section: Data and Variable Specificationmentioning

confidence: 99%

Section: The Modelmentioning

confidence: 99%

Section: Data and Variable Specificationmentioning

confidence: 99%

mentioning

confidence: 99%

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Oil Price Shocks, Firm Uncertainty, and Investment

2011

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“…As in Love (2003) and Baum et al (2008), eq. (8) includes the term 1 which captures the persistency in firms' investment behaviour.…”

Section: The Channels Of Transmissionmentioning

confidence: 97%

Regional infrastructure and firm investment: theory and empirical evidence for Italy

2010

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We model the channels through which public expenditure on infrastructure influences firm value and shapes its investment decisions via both adjustment costs and marginal profitability of capital. We test these hypotheses by using a large panel of Italian firms. Empirical results show that infrastructure interacts with revenues and costs in shaping firm's profitability of capital and influences its adjustment costs.Finally we find that infrastructure expenditure contributes to reduce the economic gap between the North and the South of Italy. These e ects vary across regions and sectors.JEL: D21, D62, D92.

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Sweepstakes or contests: The effect of uncertainty type on consumption behavior

Shen

Ming

2021

J of Consumer Behaviour

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Given their widespread application and the benefits provided to marketers, the inconclusive effects of uncertain promotions need to be further explored. This research demonstrates that the effectiveness of uncertain promotions varies with the type of uncertainty involved in the promotions (i.e., sweepstakes and contests). Based on real‐world data from one of the largest commercial banks in China and three controlled experiments, we found consistent evidence supporting the advantages of sweepstakes promotions over contest promotions, even when both uncertain promotions had the same cost for consumers. We suggest that this effect occurs because of the consumers have a higher perception of confidence and thus, perceive the probability of winning the reward is higher in sweepstakes than in contest, thereby indicating the underlying mechanism of the effect of the uncertain promotion type on consumer preference.

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Uncertainty determinants of firm investment

Abstract: We investigate the impact of measures of uncertainty on firms' capital investment behavior using a panel of U.S. firms. Increases in firmspecific and CAPM -based measures have a significant negative effect on investment spending, while market-based uncertainty has a positive impact.

Cited by 63 publications

References 14 publications

Oil Price Shocks, Firm Uncertainty, and Investment

Oil Price Shocks, Firm Uncertainty, and Investment

Regional infrastructure and firm investment: theory and empirical evidence for Italy

Sweepstakes or contests: The effect of uncertainty type on consumption behavior

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