Asymmetric Investment Rates

Fisher College of Business Working Paper No. 2022-03-003

Charles A. Dice Working Paper No. 2022-03

129 Pages Posted: 13 Apr 2022

See all articles by Hang Bai

Hang Bai

University of Connecticut - Department of Finance

Erica X. N. Li

Cheung Kong Graduate School of Business

Chen Xue

University of Cincinnati

Lu Zhang

Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: April 12, 2022

Abstract

Integrating national accounting with financial accounting, we provide firm-specific estimates of current-cost capital stocks for the entire Compustat universe, as well as an array of estimates of investment flows, economic depreciation rates, and capital and investment price deflators. The firm-level current-cost investment rate distribution is heavily right-skewed, with a small fraction of negative investment rates, 5.51%, but a huge fraction of positive investment rates, 91.64%. Despite a tiny fraction of inactive investment rates, 2.85%, firm-level investment also seems lumpy, featuring a fraction of 32.66% for positive spikes (investment rates higher than 20%). For a typical firm, 39% of total investment is completed within 20% of the sample years.

Keywords: Asymmetry, lumpy investment, national accounting, financial accounting, economic depreciation, current-cost capital, the investment rate

JEL Classification: D22, D25, E22, E44, G12, G31

Suggested Citation

Bai, Hang and Li, Erica X. N. and Xue, Chen and Zhang, Lu, Asymmetric Investment Rates (April 12, 2022). Fisher College of Business Working Paper No. 2022-03-003, Charles A. Dice Working Paper No. 2022-03, Available at SSRN: https://ssrn.com/abstract=4082361 or http://dx.doi.org/10.2139/ssrn.4082361

Hang Bai

University of Connecticut - Department of Finance ( email )

School of Business
2100 Hillside Road
Storrs, CT 06269
United States

Erica X. N. Li

Cheung Kong Graduate School of Business ( email )

1 East ChangAn Avenue, Oriental Plaza, E2, 20/F
One East Chang An Avenue
Beijing, 100738
China

Chen Xue

University of Cincinnati ( email )

College of Business Administration
Cincinnati, OH 45221
United States
(513) 556-7078 (Phone)

Lu Zhang (Contact Author)

Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
585-267-6250 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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