Left Behind: Creative Destruction, Inequality, and the Stock Market

• 成果类型: Article
• 署名作者: Kogan, Leonid; Papanikolaou, Dimitris; Stoffman, Noah
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/704619
• 发表日期: 2020
• 页码: 855-906
• 关键词: RUN RISKS MODEL; long-run; cross-section; habit formation; asset prices; INVESTMENT; consumption; returns; RESOLUTION; GROWTH

摘要

We develop a general equilibrium model of asset prices in which benefits of technological innovation are distributed asymmetrically. Financial market participants do not capture all economic gains from innovation even when they own shares in innovating firms. Such gains accrue partly to the innovators, who cannot sell claims on proceeds from their future ideas. We show how the resulting inequality among agents can give rise to a high risk premium on the aggregate stock market, return comovement and average return differences among firms, and the failure of traditional representative agent asset pricing models to account for cross-sectional differences in risk premia.