The risks of old capital age: Asset pricing implications of technology adoption

• 成果类型: Article
• 署名作者: Lin, Xiaoji; Palazzo, Berardino; Yang, Fan
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Connecticut
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.06.001
• 发表日期: 2020
• 页码: 145-161
• 关键词: technology adoption; Technology frontier shocks; Capital age; stock returns

摘要

A dynamic model featuring a stochastic technology frontier shows significant impact of technology adoption for asset prices. In equilibrium, firms operating with old capital are riskier because costly technology adoption restricts their flexibility in upgrading to the latest technology, making them more exposed to technology frontier shocks. Consistent with the model predictions, a long-short portfolio sorted on firm-level capital age earns an average value-weighted return of 9% per year among U.S. public companies. A proxy for technology frontier shocks captures the variation of the capital age portfolios with a positive risk price, corroborating the model mechanism. (c) 2019 Elsevier B.V. All rights reserved.