| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3546
|
| DP3546 The Performance of Optimally Diversified Firms: Reconciling Theory and Evidence |
| Joao Gomes; Dmitry Livdan
|
| 发表日期 | 2002-09-20
|
| 出版年 | 2002
|
| 语种 | 英语
|
| 摘要 | I revisit the relationship between growth and volatility in two different disaggregated datasets. I confirm that growth and volatility are negatively related across countries, but show that the relation reverses itself across sectors. This phenomenon, sometimes called the ?Simpson?s fallacy?, has a natural interpretation in the present context: it is the component of aggregate volatility that is common across sectors that correlates negatively with aggregate growth. Furthermore, while investment and volatility are unrelated in the aggregate, sectoral investment is shown to be more intense in volatile activities, as if the return to capital were higher there. These results call for a distinction between macroeconomic and sectoral volatilities, not unlike that between macroeconomics, where volatility often means policy-driven instability, and finance, where volatility reflects risk, and thus high returns. |
| 主题 | International Macroeconomics
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| 关键词 | Sectors
Growth
Volatility
|
| URL | https://cepr.org/publications/dp3546
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532555
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推荐引用方式
GB/T 7714 |
Joao Gomes,Dmitry Livdan. DP3546 The Performance of Optimally Diversified Firms: Reconciling Theory and Evidence. 2002.
|
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