Displacement risk and asset returns
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-gen...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
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Elsevier
2017
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| Online Access: | http://hdl.handle.net/1721.1/107901 https://orcid.org/0000-0001-9387-9728 |
| _version_ | 1826212854629400576 |
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| author | Gârleanu, Nicolae Panageas, Stavros Kogan, Leonid |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Gârleanu, Nicolae Panageas, Stavros Kogan, Leonid |
| author_sort | Gârleanu, Nicolae |
| collection | MIT |
| description | 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. |
| first_indexed | 2024-09-23T15:39:25Z |
| format | Article |
| id | mit-1721.1/107901 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T15:39:25Z |
| publishDate | 2017 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | mit-1721.1/1079012022-09-29T15:17:32Z Displacement risk and asset returns Gârleanu, Nicolae Panageas, Stavros Kogan, Leonid Sloan School of Management Kogan, Leonid Kogan, Leonid 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. 2017-04-06T16:02:33Z 2017-04-06T16:02:33Z 2012-01 2011-07 Article http://purl.org/eprint/type/JournalArticle 0304405X 1879-2774 http://hdl.handle.net/1721.1/107901 Gârleanu, Nicolae, Leonid Kogan, and Stavros Panageas. “Displacement Risk and Asset Returns.” Journal of Financial Economics 105, no. 3 (September 2012): 491–510. https://orcid.org/0000-0001-9387-9728 en_US http://dx.doi.org/10.1016/j.jfineco.2012.04.002 Journal of Financial Economics Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier Prof. Kogan via Alex Caracuzzo |
| spellingShingle | Gârleanu, Nicolae Panageas, Stavros Kogan, Leonid Displacement risk and asset returns |
| title | Displacement risk and asset returns |
| title_full | Displacement risk and asset returns |
| title_fullStr | Displacement risk and asset returns |
| title_full_unstemmed | Displacement risk and asset returns |
| title_short | Displacement risk and asset returns |
| title_sort | displacement risk and asset returns |
| url | http://hdl.handle.net/1721.1/107901 https://orcid.org/0000-0001-9387-9728 |
| work_keys_str_mv | AT garleanunicolae displacementriskandassetreturns AT panageasstavros displacementriskandassetreturns AT koganleonid displacementriskandassetreturns |