Technological Innovations and Aggregate Risk Premiums

By Po-Hsuan Hsu. 2009

157 citations recorded by the source corpus.

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.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/216d215461009b1391084e58ce1cbd77c3f42e18

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Citations in the corpus

Technological Growth and Asset Pricing (2012, unknown): “links between news about innovations, the macroeconomy, and asset prices. Hsu (2009)”
Brand Capital and Firm Value (2014, unknown): “4A non-comprensive list of related papers performing an analsys at the aggregate level include: Hall (2001), McGrattan and Prescott (2000), as well as Hsu (2009), who shows that technological innovations forecast stock excess returns using R&D data, a form of investment in intangible capital.”
Does corporate eco-innovation affect stock price crash risk? (2021, background): “Prior studies focusing on consequences of firm innovativeness have examined the impact of patent innovation on stock return (Hirshleifer, Hsu, & Li, 2013), corporate stock price crash risk (Ben-Nasr et al., 2021), default risk (Hsu, Lee, Liu, & Zhang, 2015), and market risk premium (Hsu, 2009).”
Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks (2017, background): “…(2015a,b), for example, consider oil price as a predictor of returns2; Rapach et al. (2013) use U.S. stock returns as a predictor of OECD returns; Hsu (2009) examines how technology risk factors predict stock market returns; Narayan et al. (2014) use mutual funds to predict returns; Ni et al.…”
What Affects Innovation More: Policy or Policy Uncertainty? (2017, unknown): “7Existing studies find that financial market development (Hsu et al. (2014)), a larger institutional ownership (Aghion, Van Reenen, and Zingales (2013)), banking competition (Cornaggia, Mao, Tian, https://doi.”
The Real Effects of Real Earnings Management: Evidence from Innovation (2018, background): “8 At the aggregate level, Hobijn and Jovanovic (2001), Pástor and Veronesi (2009), and Hsu (2009) have presented evidence for the positive relation between technological innovation and stock market capitalization.”