Gârleanu, Nicolae, Panageas, Stavros and Yu, Jianfeng (2012) Technological growth and asset pricing. The journal of finance, 67 (4). pp. 1265-1292. ISSN 0022-1082
Abstract
We study the asset-pricing implications of technological growth in a model with “small,” disembodied productivity shocks and “large,” infrequent technological innovations, which are embodied into new capital vintages. The technological-adoption process leads to endogenous cycles in output and asset valuations. This process can help explain stylized asset-valuation patterns around major technological innovations. More importantly, it can help provide a unified, investment-based theory for numerous well-documented facts related to excess-return predictability. To illustrate the distinguishing features of our theory, we highlight novel implications pertaining to the joint time-series properties of consumption and excess returns.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/%28... |
| Additional Information: | © 2012 American Finance Association |
| Library of Congress subject classification: | H Social Sciences > HG Finance |
| Journal of Economic Literature Classification System: | G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates O - Economic Development, Technological Change, and Growth > O3 - Technological Change; Research and Development |
| Sets: | Departments > Finance Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/47576/ |
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