Growth Opportunities, Technology Shocks, and Asset Prices
نویسندگان
چکیده
منابع مشابه
Growth Opportunities, Technology Shocks, and Asset Prices
We explore the impact of investment-specific technology (IST) shocks on the crosssection of stock returns. IST shocks reflect technological advances embodied in new capital goods. Using a structural model, we show that IST shocks have a differential effect on the two fundamental components of firm value, the value of assets in place and the value of growth opportunities. This differential sensi...
متن کاملGrowth Opportunities and Technology Shocks∗
The market value of a firm can be decomposed into two fundamental parts: the value of assets in place and the value of future growth opportunities. We propose a theoreticallymotivated procedure for measuring heterogeneity in growth opportunities across firms. We identify firms with high growth opportunities based on the covariance of their stock returns with the investment-specific productivity...
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I explore the implications for asset prices and macroeconomic dynamics of shocks that improve real investment opportunities and thus affect the representative household’s marginal utility. These investment shocks generate differences in risk premia due to their heterogenous impact on firms: they benefit firms producing investment relative to firms producing consumption goods, and increase the v...
متن کاملIdiosyncratic Shocks, Geographic Spillovers, and Asset Prices∗
This paper shows that productivity shocks to the top 100 U.S. companies (as identified in Gabaix (2011)) contain systematic information. Specifically, shocks to the top 100 firms predict future shocks to geographically close firms. Intra-sector trade links are an important economic channel for the cascade effect. However, these geographic spillovers are not only restricted to firms’ explicit in...
متن کاملTemperature, Growth, and Asset Prices
This article makes a contribution towards understanding the impact of temperature fluctuations on the economy and financial markets. Using historical aggregate U.S. data we show that temperature negatively impacts future growth up to 10 years. We present a long-run risks model with temperature related natural disasters. The model simultaneously matches observed temperature and consumption growt...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2014
ISSN: 0022-1082
DOI: 10.1111/jofi.12136