Bachmann, Ruediger; Elstner, Steffen; Hristov, Atanas - Society for Economic Dynamics - SED - 2014
of firm-level investment innovations. This paper documents its cross-sectional and time-series properties and thus … heterogeneous-firm models. We find: 1) there is excess kurtosis in investment innovations, but no significant skewness; 2) the cross …-sectional average of investment innovations is procyclical; 3) the cross-sectional dispersion of investment innovations is …