2015 Fiscal Year Final Research Report
Asset Pricing Model Based on the Capital Investment
| Project/Area Number |
24530235
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Meiji University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
Chida Ryokichi 明治大学, 商学部, 教授 (80179944)
Tamegawa Kenichi 山形大学, 人文学部, 准教授 (80409424)
Fukuda Shin 福島大学, 経済経営学類, 准教授 (90573957)
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| Project Period (FY) |
2012-04-01 – 2016-03-31
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| Keywords | 資産価格モデル / Tobin's q / 企業価値 / 無形資産 / 投資の調整費用 |
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| Outline of Final Research Achievements |
We find a remarkable improvement in model performance once we introduce R&D capital into the investment-based asset pricing model which explains the firm value or Tobin’s q. In addition, the increase in firm value with the introduction of additional unit of capital is far larger for R&D capital compared with that of physical capital, particularly for innovative firms belonging to the drugs and electric and electronic equipment industries. Tobin’s q is regarded as the unique explanatory variable for physical capital investment in the finance and economic literature, however, we show that Tobin’s q is an inappropriate measure of physical capital investment for those innovative firms.
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| Free Research Field |
ファイナンス、応用計量経済学
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