Endogenous technological progress and the cross-section of stock returns

• 成果类型: Article
• 署名作者: Lin, Xiaoji
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.08.013
• 发表日期: 2012
• 页码: 411-427
• 关键词: Technological progress; R&D investment; Physical investment; stock return

摘要

I study the cross-sectional variation of stock returns and technological progress using a dynamic equilibrium model with production. Technological progress is endogenously driven by research and development (R&D) investment and is composed of two parts. One part is devoted to product innovation; the other, to increasing the productivity of physical investment. The latter is embodied in new tangible capital. The model breaks the symmetry assumed in standard models between tangible and intangible capital, in which the accumulation processes of tangible and intangible capital stock do not affect each other. Qualitatively and, in many cases, quantitatively, the model explains well-documented empirical regularities. (C) 2011 Elsevier B.V. All rights reserved.