Technological Revolutions and Stock Prices

• 成果类型: Article
• 署名作者: Pastor, Lubos; Veronesi, Pietro
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.99.4.1451
• 发表日期: 2009
• 页码: 1451-1483
• 关键词: growth; ECONOMY; MARKET

摘要

We develop a general equilibrium model in which stock prices of innovative firms exhibit bubbles during technological revolutions. In the model, the average productivity of a new technology is uncertain and subject to learning. During technological revolutions, the nature of this uncertainty changes from idiosyncratic to systematic. The resulting bubbles in stock prices are observable ex post but unpredictable ex ante, and they are most pronounced for technologies characterized by high uncertainty and fast adoption. We find empirical support for the model's predictions in 1830-1861 and 1992-2005 when the railroad and Internet technologies spread in the United States. (JEL G12, L86, L92, N21, N22, N71, N72)