Abstract

http://ssrn.com/abstract=1533018
 
 

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The Demographics of Innovation and Asset Returns


Nicolae Garleanu


University of California, Berkeley - Haas School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Leonid Kogan


Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Stavros Panageas


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

February 28, 2010

MFI Working Paper No. 2009-08

Abstract:     
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 misplacement risk using estimates of inter-cohort consumption differences across households and find support for the model.

Number of Pages in PDF File: 52

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Date posted: January 8, 2010 ; Last revised: December 20, 2013

Suggested Citation

Garleanu, Nicolae and Kogan, Leonid and Panageas, Stavros, The Demographics of Innovation and Asset Returns (February 28, 2010). MFI Working Paper No. 2009-08. Available at SSRN: http://ssrn.com/abstract=1533018 or http://dx.doi.org/10.2139/ssrn.1533018

Contact Information

Nicolae Bogdan Garleanu
University of California, Berkeley - Haas School of Business ( email )
545 Student Services Building
Berkeley, CA 94720
United States
HOME PAGE: http://faculty.haas.berkeley.edu/garleanu
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Leonid Kogan
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
50 Memorial Drive
Cambridge, MA 02142
United States
617-253-2289 (Phone)
617-258-6855 (Fax)
HOME PAGE: http://web.mit.edu/lkogan2/www/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stavros Panageas (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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