Equity Market Misvaluation, Financing, and Investment
估计了一个动态投资模型，企业通过股权、现金或债务融资，错误定价影响股权价值，企业最优地发行和回购被高估或低估的股票。研究发现错误定价对财务政策的影响大于投资，小企业的投资反应最强但仍温和，管理者理性应对错误定价可使股东价值提升最多4%。
We estimate a dynamic investment model in which firms finance with equity, cash, or debt. Misvaluation affects equity values, and firms optimally issue and repurchase overvalued and undervalued shares. The funds flowing to and from these activities come from investment, dividends, or net cash. The model fits a broad set of data moments in large heterogeneous samples and across industries. Our parameter estimates imply that misvaluation induces larger changes in financial policies than investment. The investment responses are strongest for small firms but nonetheless modest. Managers' rational responses to misvaluation increase shareholder value by up to 4%. Received January 7, 2014; accepted September 30, 2015 by Editor Leonid Kogan.