Bahram Adrangi, Arjun Chatrath, Madhuparna Kolay and Kambiz Raffiee

Correspondence: Bahram Adrangi, adrangi@up.edu

University of Portland. Portland, Oregon.

pdf (594.45 Kb) | doi: https://doi.org/10.47260/bae/1226

Abstract

This paper examines the impact of macroeconomic and policy-related uncertainties on firm value, measured by Tobin’s Q, for a panel of nine major U.S. consumer nondurable goods firms from 1980 through the first quarter of 2022. Utilizing panel quantile regression and panel MIDAS-VAR models, the analysis incorporates firm-level financial variables such as the current and quick ratios, debt-to-asset ratio, and operating income after depreciation. The findings reveal that economic policy uncertainty, consumer confidence, and inflationary expectations are positively associated with Tobin’s Q and Granger cause firm value across the distribution. In contrast, recessionary expectations do not significantly influence Tobin’s Q, reflecting the essential nature of the sector’s products and its relative insulation from business cycle downturns. These results suggest that firms in this sector may benefit from strategic focus on liquidity management, operational efficiency, and responsiveness to shifts in consumer sentiment and policy conditions.

Keywords:

  Tobin’s Q, Uncertainty, Economic Policy Uncertainty, Inflation expectations, Consumer confidence index, Panel quantile regression, Panel MIDS Vector autoregressive.

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