Asset pricing with costly and delayed firm entry

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F24%3A43923838" target="_blank" >RIV/62156489:43110/24:43923838 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.1017/S1365100523000287" target="_blank" >https://doi.org/10.1017/S1365100523000287</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1017/S1365100523000287" target="_blank" >10.1017/S1365100523000287</a>

Result language

angličtina

Original language name

Asset pricing with costly and delayed firm entry

Original language description

Survey evidence tells us that stock prices reflect the risks investors associate with long-run technological change. However, there is a shortage of models that can rationalize long-run risks. Unlike the previous literature assuming a fixed number of products, our model allows for new product varieties that appear in the form of new firms which face entry costs and delay in the entry process. The fixed variety model has a significant limitation in translating macroeconomic volatility into asset return volatility. Our model with growing varieties induces endogenous low-frequency fluctuations in productivity driving large, persistent variations in consumption growth and asset prices. It also changes the valuation of assets through the increase in the volatility of the pricing kernel (with a positive long-run component) and leads to higher excess returns. Our model is motivated by a simple recursively identified VAR model containing quarterly US data 1992Q3-2018Q4 with the following list of variables: total factor productivity, output, a measure of firm entry, and the excess return on stocks.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

<a href="/en/project/GA22-34451S" target="_blank" >GA22-34451S: New Methods in Pricing Government Debt: Uncertainty and Policy Implications</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2024

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Macroeconomic Dynamics

ISSN

1365-1005

e-ISSN

1469-8056

Volume of the periodical

28

Issue of the periodical within the volume

4

Country of publishing house

US - UNITED STATES

Number of pages

25

Pages from-to

855-879

UT code for WoS article

001031885200001

EID of the result in the Scopus database

2-s2.0-85165961316