Technology prospects and the cross-section of stock returns

被引：16
|
作者：
Hsu, Po-Hsuan [1 ]
Huang, Dayong [2 ]
机构：
[1] Univ Connecticut, Sch Business, Dept Finance, Storrs, CT 06269 USA
[2] Univ N Carolina, Dept Accounting & Finance, Greensboro, NC 27412 USA
来源：
JOURNAL OF EMPIRICAL FINANCE | 2010年 / 17卷 / 01期
关键词：
Factor models; Patents; Technological innovations; Tracking portfolios; ASSET PRICING MODEL; R-AND-D; INVESTMENT OPPORTUNITIES; VALUE PREMIUM; MARKET; RISK; PRODUCTIVITY; PERFORMANCE; CONSUMPTION; MECHANISM;
D O I：
10.1016/j.jempfin.2009.08.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by U.S. patent shocks, and find that this factor explains the growth of aggregate consumption, helps to price important stock portfolios, and carries significant risk premium. Our empirical results suggest the existence of technology risk in the cross-section of stock returns. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：39 / 53
页数：15
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