Ανάρτηση Ερευνητικού Δοκιμίου no 13/26

Ερευνητικό Δοκίμιο no 13/26 με τίτλο "The Persistence of Corporate Overinvestment and Underinvestment"

των Δημήτριου Κ. Χριστόπουλου και Ηλία Τζαβαλή

Περίληψη

This paper examines the persistence and asymmetric adjustment of abnormal corporate investment. Conventional residual-based measures cannot distinguish persistent deviations from transitory shocks. We develop a nonlinear latent-state framework that decomposes benchmark-investment residuals into persistent and transitory components and allows persistence to differ between positive and negative states. Using U.S. public firms, we find stronger local propagation of positive than negative abnormal-investment deviations. Regime-continuation probabilities are high and relatively similar across states, showing that local propagation and regime continuation capture distinct dimensions of investment adjustment. Persistence asymmetry is pronounced among smaller and less profitable firms, while its relation to cash flow varies across samples. Persistent positive deviations also predict greater subsequent sales of property, plant, and equipment than equally large negative deviations, providing evidence on the economic relevance of the latent state. Overall, the findings are consistent with agency, financing, and adjustment mechanisms rather than a simple liquidity-based explanation.

O Δημήτριος Κ. Χριστόπουλος είναι Καθηγητής στο τμήμα Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών του Οικονομικού Πανεπιστημίου Αθηνών και ο Ηλίας Τζαβαλής είναι Καθηγητής στο τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών.