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Technological growth and asset pricing

Gârleanu, Nicolae, Panageas, Stavros and Yu, Jianfeng (2012) Technological growth and asset pricing. Journal of Finance, 67 (4). pp. 1265-1292. ISSN 0022-1082

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Identification Number: 10.1111/j.1540-6261.2012.01747.x


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:
Additional Information: © 2012 American Finance Association
Divisions: Finance
Subjects: H Social Sciences > HG Finance
JEL classification: 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
Date Deposited: 30 Nov 2012 13:27
Last Modified: 20 Oct 2021 01:59

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