Showing 1 - 10 of 11
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...
Persistent link: https://www.econbiz.de/10003449724
"The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...
Persistent link: https://www.econbiz.de/10003726989
Persistent link: https://www.econbiz.de/10011732241
Persistent link: https://www.econbiz.de/10011847389
This paper asks whether the asset pricing fluctuations induced by the presence of costly external finance are empirically plausible. To accomplish this, we incorporate costly external finance into a dynamic stochastic general equilibrium model and explore its implications for the properties of...
Persistent link: https://www.econbiz.de/10012469339
Persistent link: https://www.econbiz.de/10003936676
We develop a theory linking “misallocation,” i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In our setup, firms differ in their exposure to these risks, which we show leads naturally to heterogeneity in firm-level risk premia and, more...
Persistent link: https://www.econbiz.de/10012910538
We develop a theory linking "misallocation," i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm-level risk premia and (ii) the price of risk, and thus is countercyclical. We document strong empirical support for...
Persistent link: https://www.econbiz.de/10012395487
Persistent link: https://www.econbiz.de/10011983206
We develop a theory linking “misallocation,” i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm-level risk premia and (ii) the price of risk, and thus is countercyclical. We document strong empirical support...
Persistent link: https://www.econbiz.de/10013314760