Finance in a Time of Disruptive Growth

Nicolae B. Gârleanu and Stavros Panageas

No 32184, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose a unified theory of asset price determination encompassing both “conventional” and “alternative” asset classes (private equity, real estate, etc.). The model features disruption of old by young firms and skewness in the distribution of innovative rents among the young innovators. The relative size of asset classes, the dynamics of rich investors’ wealth, and the returns of the various asset classes are jointly determined in equilibrium. Besides explaining the observed patterns of returns across asset classes, we analyze the theoretical properties of the most widely used performance-evaluation measure for alternative investments. We also provide connections between the growth of alternative investments, the dispersion of returns across investors, and the turnover inside the ranks of wealthy individuals.

JEL-codes: G11 G12 G24 O49 (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-fdg and nep-sbm
Note: AP CF EFG PR
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Working Paper: Finance in a Time of Disruptive Growth (2017)
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