Risk-adjusted capital allocation and misallocation

• 成果类型: Article
• 署名作者: David, Joel M.; Schmid, Lukas; Zeke, David
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Southern California; University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.06.001
• 发表日期: 2022
• 页码: 684-705
• 关键词: Misallocation; Capital Reallocation; Aggregate TFP; risk premia; Cross-section of stock returns; Costs of business cycles

摘要

We develop a theory linking misallocation, i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm -level risk and (ii) the magnitude of risk premia. Stock market-based measures imply that risk considerations explain about 25% of MPK dispersion among US firms and rationalize a large persistent component in firm-level MPK, consistent with the micro-level data. Time -varying risk premia lead to countercyclical MPK dispersion alongside procyclical capital reallocation. Risk-based MPK dispersion in part shapes the dynamic behavior of aggregate productivity, namely, its long-run level, volatility and skewness.(c) 2022 Published by Elsevier B.V.