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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w17795 |
来源ID | Working Paper 17795 |
Growth Opportunities, Technology Shocks, and Asset Prices | |
Leonid Kogan; Dimitris Papanikolaou | |
发表日期 | 2012-01-26 |
出版年 | 2012 |
语种 | 英语 |
摘要 | We explore the impact of investment-specific technology (IST) shocks on the crosssection of stock returns. IST shocks reflect technological advances embodied in new capital goods. Using a structural model, we show that IST shocks have a differential effect on the two fundamental components of firm value, the value of assets in place and the value of growth opportunities. This differential sensitivity to IST shocks has two main implications. First, risk premia on firms with abundant growth opportunities are different from those on firms with limited growth opportunities. Second, firms with similar levels of growth opportunities comove with each other, giving rise to the value factor in stock returns. Our model replicates the failure of the conditional CAPM to capture the value premium. Our empirical tests confirm the model's predictions for asset returns and investment rates. |
主题 | Macroeconomics ; Consumption and Investment ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing ; Development and Growth ; Innovation and R& ; D ; Growth and Productivity |
URL | https://www.nber.org/papers/w17795 |
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/575470 |
推荐引用方式 GB/T 7714 | Leonid Kogan,Dimitris Papanikolaou. Growth Opportunities, Technology Shocks, and Asset Prices. 2012. |
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 | ||
w17795.pdf(456KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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