Abstract

http://ssrn.com/abstract=2333317
 


 



Credit Spread and Aggregate Tobin's Q


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

September 30, 2013


Abstract:     
This study investigates how credit spread dynamically responds to the change in aggregate Tobin’s q ratio. The VAR results from analyzing quarterly data from 1951 Q4 to 2012 Q4 reveal that credit spread drops significantly following the shock to the change in aggregate Tobin’s q ratio. There is not a response feedback from credit spread to the changes in aggregate Tobin’s q ratio. The variance decomposition results show that the change in aggregate Tobin’s q forecasts about 1.91%, 13.29% and 16.42% at the 2-quarter, 4-quarter and 8-quarter horizons respectively.

Keywords: Credit spread, Tobin’s q ratio, VAR

JEL Classification: G12, G14, G17

working papers series





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Date posted: September 30, 2013  

Suggested Citation

Sum, Vichet, Credit Spread and Aggregate Tobin's Q (September 30, 2013). Available at SSRN: http://ssrn.com/abstract=2333317

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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