Displacement risk and asset returns

• 成果类型: Article
• 署名作者: Garleanu, Nicolae; Kogan, Leonid; Panageas, Stavros
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.04.002
• 发表日期: 2012
• 页码: 491-510
• 关键词: Consumption-based asset pricing; Displacement risk; VALUE PREMIUM; equity premium; incomplete markets

摘要

We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on existing firms and workers, reducing the profits of existing firms and eroding the human capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor, which we call displacement risk This risk helps explain several empirical patterns, including the existence of the growth-value factor in returns, the value premium, and the high equity premium. We assess the magnitude of displacement risk using estimates of inter-cohort consumption differences across households and find support for the model. (C) 2012 Elsevier B.V. All rights reserved.