Equity Prices, Productivity Growth, and the 'New Economy'

Jakob Madsen and E Davis (e_philip_davis@msn.com)

No 04-05, EPRU Working Paper Series from Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics

Abstract: The sharp increase in equity prices over the 1990s was widely attributed to permanently higher productivity growth derived from the New Economy. This paper establishes a rational expectations model of technology innovations and equity prices, which shows that under plausible assumptions, productivity advances can only have temporary effects on the fundamentals of equity prices. Using historical data on productivity of R&D capital, patent capital and fixed capital for 11 OECD countries, empirical evidence give strong support for the model by suggesting that technological innovations indeed have only temporary effects on equity returns.

Keywords: new economy; productivity; economic growth; equity prices (search for similar items in EconPapers)
JEL-codes: G12 G3 O4 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2004-02
New Economics Papers: this item is included in nep-cfn and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://web.econ.ku.dk/epru/files/wp/wp-04-05.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://web.econ.ku.dk/epru/files/wp/wp-04-05.pdf [301 Moved permanently]--> https://web.econ.ku.dk/epru/files/wp/wp-04-05.pdf)

Related works:
Journal Article: Equity Prices, Productivity Growth and 'The New Economy' (2006)
Working Paper: Equity Prices, Productivity Growth and 'The New Economy (2004)
Working Paper: EQUITY PRICES, PRODUCTIVITY GROWTH, AND ‘THE NEW ECONOMY’ (2003)
Working Paper: EQUITY PRICES, PRODUCTIVITY GROWTH, AND ‘THE NEW ECONOMY’ (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kud:epruwp:04-05

Access Statistics for this paper

More papers in EPRU Working Paper Series from Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics �ster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann (thho@kb.dk).