Internet Appendix for "Misallocation and Asset Prices"

30 Pages Posted: 28 Nov 2023 Last revised: 3 Jan 2025

See all articles by Winston Wei Dou

Winston Wei Dou

University of Pennsylvania - The Wharton School; National Bureau of Economic Research (NBER)

Yan Ji

Hong Kong University of Science & Technology (HKUST)

Di Tian

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Pengfei Wang

Peking University HSBC Business School

Date Written: January 03, 2025

Abstract

This is the supplemental material to the paper titled “Misallocation and Asset Prices” (Dou et al., 2025). It includes the mathematical proofs for all the theoretical results in Dou et al. (2025). It also provides additional quantitative and empirical results.

Keywords: Distribution of firms, Financial frictions, Endogenous growth, Intangible q, Stochastic discount factor, Welfare costs of economic fluctuations.

JEL Classification: L11, O30, O40

Suggested Citation

Dou, Winston Wei and Ji, Yan and Tian, Di and Wang, Pengfei, Internet Appendix for "Misallocation and Asset Prices" (January 03, 2025). Available at SSRN: https://ssrn.com/abstract=4590453 or http://dx.doi.org/10.2139/ssrn.4590453

Winston Wei Dou (Contact Author)

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

HOME PAGE: http://www.nber.org/people/winston_wei_dou?page=1&perPage=50

Yan Ji

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

Di Tian

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay Kowloon
Hong Kong

Pengfei Wang

Peking University HSBC Business School ( email )

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