Investment Shocks and Asset Prices

By Dimitris Papanikolaou. Journal of Political Economy, 2011

264 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/567c87219fa370f305dfa0663591236c918359a0

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Citations in the corpus

Growth Opportunities, Technology Shocks, and Asset Prices (2014, unknown): “This form of the stochastic discount factor is motivated by a general equilibrium model with IST shocks in Papanikolaou (2011). IST shocks endogenously affect the representative household’s consumption stream, and hence they are priced in equilibrium.”
The Pollution Premium (2023, methodology): “In addition, we follow the literature (e.g., Papanikolaou (2011), Eisfeldt and Papanikolaou (2013), and Kogan and Papanikolaou (2014)) to estimate two statistics for cross-sectional fitting using the sum of squared errors (SSQE), mean absolute percent errors (MAPE), as well as the J-statistic of…”
Technological links and predictable returns (2019, unknown): “… 25 Greenwood, Hercowitz, and Krusell (1997) suggest that investment-specific technological change explain aggregate economic growth; later works such as Kogan and Papanikolaou (2014), and Papanikolaou (2011) propose investment-specific technological change as a systematic…”
Labor Hiring, Investment, and Stock Return Predictability in the Cross Section (2014, unknown): “The specification gs < 0 labor hiring, investment 149 is consistent with the theoretical and empirical literature on the impact of investment-specific shocks on asset prices ðPapanikolaou 2011; Kogan et al. 2012; Yang 2013; see also the online appendix for additional empirical analysisÞ.”
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks (2012, unknown): “Papanikolaou (2011) shows that under plausible preference parameters, states with low cost of new capital (high z) are high marginal valuation states, which is analogous to a negative value of γz. In Papanikolaou (2011), households attach higher marginal valuations to states with a positive IST shoc”
Growth, Slowdowns, and Recoveries (2019, unknown): “Our evidence is also consistent with the asset market literature, which shows that investment-specific shocks are an important source of systematic risk and therefore stock market returns (e.g., Papanikolaou (2011) and Kogan and Papanikolaou (2014)).”
Technological Innovation, Resource Allocation, and Growth (2012, unknown): “This pattern is typical of models with embodied technology shocks (see, e.g. Papanikolaou, 2011), as resources get reallocated away from consumption in the short run towards the implementation of innovation.”
The cross-section of labor leverage and equity returns (2016, background): “See Papanikolaou (2011); Garleanu, Panageas, and Yu (2012); and Kogan and Papanikolaou (2014) for a discussion of the asset pricing implications of IST shocks.”
Technological Growth and Asset Pricing (2012, unknown): “Papanikolaou (2011) draws a distinction between productivity shocks and investment specific shocks, but does not discuss embodied shocks or different capital vintages.”
Networks in Production: Asset Pricing Implications (2017, unknown): “…literature by providing explicit asset pricing factors computed directly from the input-output network.5 The closest papers in this literature are Papanikolaou (2011), who studies how investment shocks are priced, and Loualiche (2012), who investigate aggregate entry cost as a priced risk factor.”