Technology shocks and stock returns: A long-term perspective

Susan Sunila Sharma and Paresh Kumar Narayan

Journal of Empirical Finance, 2022, vol. 68, issue C, 67-83

Abstract: Using patent data dating as far back as 1870, we compute local and global technology shocks. United States data reveal strong evidence of in-sample predictability particularly at longer horizons and during economic expansions, principally driven by global technology factors. We also discover strong evidence of time-varying predictability for the United States. We find that the global technology shock is a stronger time-varying predictor of stock returns, predicting returns in as many as 41% of sub-samples of data. Using OECD data for 11 countries, we find evidence of time-varying return predictability for seven countries; however, in-sample and long horizon predictability are, in general, weak.

Keywords: Technology; Patents; Excess returns; Predictability (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:68:y:2022:i:c:p:67-83

DOI: 10.1016/j.jempfin.2022.06.002

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