In this paper we study the implications of general-purpose technological growth for asset prices. The model features two types of shocks: “small”, frequent, and disembodied shocks to productivity and “large” technological innovations, which are embodied into new vintages of the capital stock. While the former affect the economy on impact, the latter affect the economy with lags, since firms nee...

this paper investigates asset growth pricing in firm-level cross section stock return in tehran stock exchange for the period from 1379 to 1389. in order to test cross section stock return predictability by the firm's asset growth, the relation between asset growth rate and subsequent stock return is examined in a sample of 280 firms using portfolio analysis approach and fama-macbeth (1973...

Aggregate asset growth— …rst di¤erences of the logarithm of household net worth— can capture time variation in changes in expected returns in quarterly and annual horizons in which stock returns have virtually zero autocorrelations. Regressions of changes in stock returns on aggregate asset growth provide stable estimates of slope coe¢ cients over time, which improve out-of-sample predictabilit...

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...

We provide evidence that the empirical performance of the new factor models proposed by Hou, Xue, and Zhang (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Specifically, we call attention to the fact that, in both models, the investment factor is based on the measure of growth in total assets from Cooper, Gulen, and Schill (2008) and not on wha...

Existing studies show that firm asset and investment growth predict cross-sectional stock returns. Firms that shrink their assets or investments subsequently earn higher returns than firms that expand their assets or investments. I show that the superior returns of the low asset and investment growth portfolios are due to the omission of delisting returns in CRSP monthly stock return file and t...

We study the level and severity of asset poverty, the characteristics of asset-poor households, the trends and persistence of asset poverty, and the role of major lifetime events affecting transitions in and out of asset poverty. We find that, contrary to a sharp decline in the official measure of poverty, which is based on income, the asset poverty rate barely changed over the 1984–99 period a...