Heterogeneity in the dynamic effects of uncertainty on investment
研究了总体利润不确定性如何影响企业资本投资，发现不同企业的投资调整方向和幅度差异很大，平均影响虽显著但较小，强调考虑异质性的重要性。
Abstract We examine how aggregate profit uncertainty influences capital investment activities, focusing on heterogeneous responses of firms. We model aggregate profit uncertainty as the conditional standard deviation of a common factor across unforecasted fluctuations in the sales growth of different industries and exploit cross‐sectional variations for its estimation. From an investment forecasting model that coherently analyzes firm‐ or group‐specific effects of uncertainty, we find that the direction and the size of investment adjustment vary considerably across firms, with a significant but small negative average impact. Our results highlight the importance of accounting for heterogeneity in the transmission of uncertainty, allowing us to reconcile different views on the effect of uncertainty in the existing literature.