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Technological innovations and aggregate risk premiums

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  • Hsu, Po-Hsuan

Abstract

In this paper, I propose that technological innovations increase expected stock returns and premiums at the aggregate level. I use aggregate patent data and research and development (R&D) data to measure technological innovations in the U.S., and find that patent shocks and R&D shocks have positive and distinct predictive power for U.S. market returns and premiums. Similar patterns are also found in international data including other G7 countries, China, and India. These findings are consistent with previous empirical studies based on firm-level data, and call for further theoretical explanations.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 94 (2009)
Issue (Month): 2 (November)
Pages: 264-279

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Handle: RePEc:eee:jfinec:v:94:y:2009:i:2:p:264-279

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Web page: http://www.elsevier.com/locate/inca/505576

Related research

Keywords: Patents Research and development Return predictability Technological innovations Technology shocks;

References

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Citations

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Cited by:
  1. Lin, Xiaoji, 2012. "Endogenous Technological Progress and the Cross Section of Stock Returns," Working Paper Series 2012-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  2. Grammig, Joachim & Jank, Stephan, 2013. "Creative destruction and asset prices," University of Tuebingen Working Papers in Economics and Finance 61, University of Tuebingen, Faculty of Economics and Social Sciences.
  3. Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
  4. Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana, 2013. "Brand Capital and Firm Value," Working Paper Series 2013-04, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  5. Hyunbae Chun & Jung-Wook Kim & Randall Morck, 2013. "Productivity Growth and Stock Returns: Firm- and Aggregate-Level Analyses," NBER Working Papers 19462, National Bureau of Economic Research, Inc.
  6. Belo, Frederico & Yu, Jianfeng, 2013. "Government investment and the stock market," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 325-339.
  7. Xiaoji Lin & Frederico Belo & Maria Ana Vitorino, 2011. "Advertising, Brand Capital and Asset Returns," 2011 Meeting Papers 462, Society for Economic Dynamics.

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