Competition, self-organization, and social scaling-accounting for the observed distributions of Tobin's q

摘要

We develop a systemic, information-theoretic model of competitive capital-market functioning that can account for the observed statistical regularities in cross-sectional distributions of the logarithm of Tobin's q for US non-financial corporations since 1962. The model considers capital markets as a self-organizing system driven by competitive interactions among investors and corporate managers. The persistent pattern of organization we observe in those distributions is primarily defined by the efforts of corporate managers to appropriate arbitrage capital gains defined by heterogeneity across individual measures of the logarithm of Tobin's q. Competition ensures the structures of security prices shaped by those efforts reflect an aggregate tradeoff between the gross returns and costs they pose to corporate managers. The distributions are also influenced by the endogenous, competitive formation of the opportunity cost of capital corporations face, which is conditioned by what investors come to expect to be a typical or general expected rate of return on assets across all corporations. In addition to offering an economic account of what we observe, the resulting framework defines new conceptualizations and aggregate measures of the informational and allocative performance of capital markets. Those suggest the performance of US capital markets has deteriorated since the 1980s.