Irreversible capital and the stock market response to shocks in profitability

• 成果类型: Article
• 署名作者: Sakellaris, P
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.2307/2527378
• 发表日期: 1997
• 页码: 351-379
• 关键词: r-and-d; regression-models; marginal-q; panel data; INVESTMENT; firm; DYNAMICS; series; return; time

摘要

This paper develops a vintage model of capital accumulation to identify the structural linkage between shocks to input or output prices and a firm's stock-market value. The model accounts for a substantial part of the sample variation in excess returns, thus providing evidence for a systematic link between the stock-market valuation of firms and the economic factors that affect their profitability. The 1973-1974 oil shock is shown to have had a strong impact on excess returns; firms whose capital consisted of vintages built when energy was relatively cheap were hit the hardest in value.