Putty-clay technology and stock market volatility
成果类型：
Article
署名作者：
Gourio, Francois
署名单位：
Boston University; National Bureau of Economic Research
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2011.02.002
发表日期：
2011
页码：
117-131
关键词：
摘要：
Firms' first-order conditions imply that stock returns equal investment returns from the production technology. Much applied work uses the adjustment cost technology, which implies that the realized return is high when the investment-capital ratio is high. This paper derives, for an arbitrary stochastic discount factor, the investment return implied by the putty-clay technology. The combination of capital heterogeneity and irreversibility creates a novel channel for return volatility. The investment return is high when the ratio of investment to gross job creation is low. Empirically, the putty-clay feature helps account for U.S. stock market data. (C) 2011 Elsevier B.V. All rights reserved.
来源URL：