| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15457 |
| 来源ID | Working Paper 15457 |
| The Demographics of Innovation and Asset Returns | |
| Nicolae Gârleanu; Leonid Kogan; Stavros Panageas | |
| 发表日期 | 2009-10-29 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on existing firms and workers, reducing the profits of existing firms and eroding the human capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor, which we call "displacement risk.'' This risk helps explain several empirical patterns, including the existence of the growth-value factor in returns, the value premium, and the high equity premium. We assess the magnitude of displacement risk using estimates of inter-cohort consumption differences across households and find support for the model. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15457 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573133 |
| 推荐引用方式 GB/T 7714 | Nicolae Gârleanu,Leonid Kogan,Stavros Panageas. The Demographics of Innovation and Asset Returns. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15457.pdf（445KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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