Accounting for Asymmetry in the Investment– q Relation: Redux of Financial Reporting Quality and Investment Efficiency
研究发现，传统线性投资-q模型因忽略q值低于1时投资反应较弱且财务报告质量较低，导致高估了报告质量对投资效率的促进作用；提出分段线性模型以纠正偏差。
Many studies use linear regressions of investment on Tobin’s [Formula: see text] to estimate normal investment levels, often concluding that financial reporting quality enhances investment efficiency. Our findings suggest these inferences are confounded by two key factors. First, consistent with asymmetric capital adjustment costs, investment is significantly less responsive to [Formula: see text] values below one than to those above one. Second, firms with [Formula: see text] values below one systematically exhibit lower financial reporting quality. By pooling [Formula: see text] values above and below one, the standard linear investment–[Formula: see text] model introduces substantial upward bias in prior estimates of the relation between reporting quality and investment efficiency. To address this issue, we propose a piecewise linear specification of the investment–[Formula: see text] model that accounts for the distinct characteristics of observations when [Formula: see text] is below one. This adjustment is crucial when the likelihood of [Formula: see text] falling below one is systematically linked to the hypothesized determinants of investment efficiency. This paper was accepted by Shiva Rajgopal, accounting. Funding: The authors gratefully acknowledge financial support from the Berkeley Haas Center for Financial Reporting and Management. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2024.08732 .