Growth Opportunities, Technology Shocks, and Asset Prices

نویسندگان

  • Leonid Kogan
  • Dimitris Papanikolaou
چکیده

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 sensitivity to IST shocks has two main implications. First, risk premia on firms with abundant growth opportunities are different from those on firms with limited growth opportunities. Second, firms with similar levels of growth opportunities comove with each other, giving rise to the value factor in stock returns. Our model replicates the failure of the conditional CAPM to capture the value premium. Our empirical tests confirm the model's predictions for asset returns and investment rates. Leonid Kogan MIT Sloan School of Management 100 Main Street, E62-636 Cambridge, MA 02142 and NBER [email protected] Dimitris Papanikolaou Department of Finance School of Management Northwestern University Office Jacobs 433 2001 Sheridan Road Evanston, IL 60208 [email protected] An online appendix is available at: http://www.nber.org/data-appendix/w17795

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تاریخ انتشار 2009