Displacement Risk and Asset Returns
By Nicolae Gârleanu, Leonid Kogan, Stavros Panageas. 2012
165 citations recorded by the source corpus.
We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on existing firms and workers, reducing the profits of existing firms and eroding the human capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor, which we call “displacement risk.” This risk helps explain several empirical patterns, including the existence of the growth-value factor in returns, the value premium, and the high equity premium. We assess the magnitude of displacement risk using estimates of inter-cohort consumption differences across households and find support for the model.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/872e96e5ff2958c1398a231637b6fba510dbf0ef
Citations in the corpus
- Innovative Efficiency and Stock Returns (2013, unknown): “See, e.g., Greenwood and Jovanovic (1999), Berk, Green, and Naik (2004), Hsu (2009), Pastor and Veronesi (2009), Garleanu, Kogan, and Panageas (2012), and Garleanu, Panageas, and Yu (2012).”
- ... and the Cross-Section of Expected Returns (2013, unknown): “33 Westfall (1993) and Ge et al. (2003) are the early papers that suggest the permutation resampling approach in multiple testing.”
- Who Are the Value and Growth Investors (2017, unknown): “For this reason, researchers have recently developed structural asset-pricing models that explicitly incorporate human capital (Garleanu, Kogan, and Panageas 2012, Parlour and Walden 2011).”
- Cash Flow Sensitivities and the Allocation of Internal Cash Flow (2014, unknown): “4 Beveridge and Nelson’s decomposition is widely used in the asset pricing literature, such as by Cochrane (1994), Bansal, Dittmar, and Kiku (2009), Garleanu, Kogan, and Panageas (2012) and Garleanu, Panageas, and Yu (2012).”