VARYING HETEROGENEITY AMONG US FIRMS: FACTS AND IMPLICATIONS

• 成果类型: Article
• 署名作者: Chun, Hyunbae; Kim, Jung-Wook; Morck, Randall
• 署名单位: Sogang University; Seoul National University (SNU); University of Alberta
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00099
• 发表日期: 2011-08
• 页码: 1034-1052
• 关键词: information-technology; idiosyncratic volatility; individual stocks; MARKET; exploration; valuation; aggregate; LIFE

摘要

U.S. firms' stock return volatility rose fivefold from 1971 through 2000 and then reverted to near 1971 levels by 2006. This was driven mainly by a rise and fall in the firm-specific, rather than systematic, component of volatility. Firm-level total factor productivity growth volatility exhibited a similar pattern. We hypothesize that firm heterogeneity, reflected in firm-specific volatility, rises as a new general purpose technology (GPT) propagates across the economy and then ebbs once the GPT is widespread. Measuring GPT adoption by information technology capital intensity, we find robust cross-industry empirical evidence supporting the hypothesis.