Endogenous technological progress and the cross-section of stock returns

Xiaoji Lin

Journal of Financial Economics, 2012, vol. 103, issue 2, 411-427

Abstract: I study the cross-sectional variation of stock returns and technological progress using a dynamic equilibrium model with production. Technological progress is endogenously driven by research and development (R&D) investment and is composed of two parts. One part is devoted to product innovation; the other, to increasing the productivity of physical investment. The latter is embodied in new tangible capital. The model breaks the symmetry assumed in standard models between tangible and intangible capital, in which the accumulation processes of tangible and intangible capital stock do not affect each other. Qualitatively and, in many cases, quantitatively, the model explains well-documented empirical regularities.

Keywords: Technological progress; R&D investment; Physical investment; Stock return (search for similar items in EconPapers)
JEL-codes: E23 E44 G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (46)

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Related works:
Working Paper: Endogenous Technological Progress and the Cross Section of Stock Returns (2012)
Working Paper: Endogenous technological progress and the cross section of stock returns (2009)
Working Paper: Endogenous Technological Progress and the Cross Section of Stock Returns (2009)
Working Paper: Endogenous technological progress and the cross section of stock returns (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:103:y:2012:i:2:p:411-427

DOI: 10.1016/j.jfineco.2011.08.013

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