{"title":"Tobin's Q and Stock Market Performance","authors":"V. Sum","doi":"10.2139/ssrn.2293527","DOIUrl":null,"url":null,"abstract":"This study examines if the change in aggregate Tobin’s q ratio (∆TBQ) can dynamically forecast return on the SP the reverse causality is not evident. The variance decomposition results reveal that ∆TBQ forecasts about 70% of SP at the two-quarter to eight-quarter horizons.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2013-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Stock Market Risk (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2293527","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
This study examines if the change in aggregate Tobin’s q ratio (∆TBQ) can dynamically forecast return on the SP the reverse causality is not evident. The variance decomposition results reveal that ∆TBQ forecasts about 70% of SP at the two-quarter to eight-quarter horizons.
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