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trend from the cycle. The results are mildly supportive of the OC theory. Demand shocks tend to have a negative impact on …
Persistent link: https://www.econbiz.de/10005666892
This Paper shows how microeconomic data on investment plans can be used to study the structure of risk faced by firms. Revisions of investment plans form a martingale, and thus reveal the underlying shocks driving investment. We decompose revisions in investment plans into micro, sector and...
Persistent link: https://www.econbiz.de/10005791830
We examine the relationships between productivity growth, IT investment and organisational change (DO) using UK firm data. Consistent with the small number of other micro studies we find (a) IT appears to have high returns in a growth accounting sense when DO is omitted; when DO is included the IT...
Persistent link: https://www.econbiz.de/10005136706
This paper provides three perspectives on long-run growth rates of labor productivity (LP) and of multi-factor productivity (MFP) for the U. S. economy. It extracts statistical growth trends for labor productivity from quarterly data for the total economy going back to 1952, provides new...
Persistent link: https://www.econbiz.de/10008607509
Using synthetic data generated by a prototypical stochastic growth model, we explore the quantitative extent of measurement error of the Solow residual (Solow 1957) as a measure of total factor productivity (TFP) growth when the capital stock is measured with error and when capacity utilization...
Persistent link: https://www.econbiz.de/10008611015
We incorporate costly external finance in a production based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions about the nature of the financing frictions are captured...
Persistent link: https://www.econbiz.de/10005497817
Evidence suggests that expected excess stock market returns vary over time, and that this variation is much larger than that of expected real interest rates. It follows that a large fraction of the movement in the cost of capital in standard investment models must be attributable to movements in...
Persistent link: https://www.econbiz.de/10005123554
We explicitly link expected stock returns to firm characteristics such as firm size and book-to-market ratio in a dynamic general equilibrium production economy. Despite the fact that stock returns in the model are characterized by an intertemporal CAPM with the market portfolio as the only...
Persistent link: https://www.econbiz.de/10005123908
What role does labour play in firms’ market value? We explore this question using a production-based asset-pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labour is akin to investment in capital and that the two interact, with the interaction...
Persistent link: https://www.econbiz.de/10005114309
Recent studies have found unmeasured intangible capital to be large and important. In this paper we observe that by nature intangible capital is also very different form physical capital. We find it plausible to argue that the accumulation process for intangible capital differs significantly...
Persistent link: https://www.econbiz.de/10005136653