Technological Growth and Asset Pricing

• 成果类型: Article
• 署名作者: Garleanu, Nicolae; Panageas, Stavros; Yu, Jianfeng
• 署名单位: University of California System; University of California Berkeley; University of Chicago; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01747.x
• 发表日期: 2012
• 页码: 1265-1292
• 关键词: cross-section; habit formation; stock returns; long-run; INVESTMENT; RISK; equilibrium; DYNAMICS; prices

摘要

We study the asset-pricing implications of technological growth in a model with small, disembodied productivity shocks and large, infrequent technological innovations, which are embodied into new capital vintages. The technological-adoption process leads to endogenous cycles in output and asset valuations. This process can help explain stylized asset-valuation patterns around major technological innovations. More importantly, it can help provide a unified, investment-based theory for numerous well-documented facts related to excess-return predictability. To illustrate the distinguishing features of our theory, we highlight novel implications pertaining to the joint time-series properties of consumption and excess returns.