Cross-sectional Tobin's Q

Frederico Belo, Chen Xue, Lu Zhang

NBER Working Paper No. 16336
Issued in September 2010

---- Acknowledgements -----

For helpful comments, we thank Andrew Abel, Kerry Back, Gurdip Bakshi, Jonathan Berk, Mark Flannery, Vito Gala, Eric Ghysels, Bob Goldstein, Rick Green, Burton Hollifield (UBC discussant), Urban Jermann, Pete Kyle, Mark Loewenstein, Stavros Panageas, Jay Ritter, Paulo Rodrigues (EFA discussant), Neng Wang, Toni Whited, and seminar participants at the 2010 CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Duke University, the 2010 European Finance Association Annual Meetings, Federal Reserve Bank of New York, McGill University, Michigan State University, Rice University, Shanghai University of Finance and Economics, Tsinghua University, the 2010 University of British Columbia Phillips, Hager and North Centre for Financial Research Summer Finance Conference, University of Florida, University of Maryland, and University of Minnesota. The portfolio data and the SAS and Matlab programs for the construction of the portfolio data and GMM estimation and tests are available upon request. We are responsible for all the remaining errors. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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