Lin, Xiaoji (2011) Endogenous technological progress and the cross-section of stock returns. Journal of financial economics, 103 (2). pp. 411-427. ISSN 0304-405X
I study the cross-sectional variation of stock returns and technological progress using a dynamic equilibrium model with production. Technological progress is endogenously driven by research and development (R&D) investment and is composed of two parts. One part is devoted to product innovation; the other, to increasing the productivity of physical investment. The latter is embodied in new tangible capital. The model breaks the symmetry assumed in standard models between tangible and intangible capital, in which the accumulation processes of tangible and intangible capital stock do not affect each other. Qualitatively and, in many cases, quantitatively, the model explains well-documented empirical regularities.
|Additional Information:||© 2011 Elsevier|
|Uncontrolled Keywords:||ISI, physical investment, R&D investment, stock return, technological progress|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Departments > Finance|
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