The Impact of Uncertainty on Investment: Empirical Challenges and a New Estimator
提出新方法同时解决不确定性的内生性和托宾Q的测量误差，发现投资与不确定性呈显著递减且强凸关系，忽略非线性或测量误差会导致估计偏差。
Abstract This article proposes a new method for examining the impact on a firm’s investment of uncertainty reflected in its stock-return volatility. We simultaneously address the endogeneity of uncertainty and mismeasurement in Tobin’s Q , but earlier empirical work often neglects one of the two issues. Our nonparametric estimates further suggest that the relation between investment and uncertainty is significantly decreasing and strongly concave. This result contrasts with the existing literature that widely adopts linear regressions. Ignoring nonlinearity or measurement error in Q can lead to a substantial estimation bias. However, the bias due to the endogeneity of uncertainty is small.