Abstract

https://ssrn.com/abstract=2831046
 


 



Trade Induced Productivity Change and Asset Prices


Ruchith Dissanayake


University of Alberta - School of Business, Department of Finance and Statistical Analysis, Students

February 1, 2017


Abstract:     
This study uses financial data to measure trade induced productivity change and assess the effects of trade induced productivity on macroeconomic dynamics and equity returns. Trade induced productivity shocks decrease consumption in short-term as the economy allocates resources towards exports and investment, which further raises productivity. I show that trade induced productivity shocks may plausibly contribute to growth subject to limited foreign import competition. I show that assets with higher sensitivity to trade induced productivity change have lower returns, on average, compared to assets with lower sensitivity. The negative risk premium is stronger within larger firms that invest more aggressively.

Number of Pages in PDF File: 44

Keywords: factor model, asset pricing model, TMN returns, Trade Induced Productivity Change

JEL Classification: G12, F14, F65


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Date posted: August 30, 2016 ; Last revised: February 3, 2017

Suggested Citation

Dissanayake, Ruchith, Trade Induced Productivity Change and Asset Prices (February 1, 2017). Available at SSRN: https://ssrn.com/abstract=2831046

Contact Information

Ruchith Dissanayake (Contact Author)
University of Alberta - School of Business, Department of Finance and Statistical Analysis, Students ( email )
2-24 Business Building
University of Alberta
Edmonton, Alberta T6G 2R6
Canada
HOME PAGE: http://www.ruchithdissanayake.com
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