Asset pricing with costly and delayed firm entry

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Asset pricing with costly and delayed firm entry

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Asset pricing with costly and delayed firm entry

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA22-34451S" target="_blank" >GA22-34451S: Nové metody v oceňování vládního dluhu: nejistota a hospodářsko-politické implikace</a><br>

Návaznosti

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

Rok uplatnění

2024

Kód důvěrnosti údajů

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

Název periodika

Macroeconomic Dynamics

ISSN

1365-1005

e-ISSN

1469-8056

Svazek periodika

28

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

25

Strana od-do

855-879

Kód UT WoS článku

001031885200001

EID výsledku v databázi Scopus

2-s2.0-85165961316