A Theory and Evidence on Technology, Value Premium, and Volatility

101 Pages Posted: 30 Jan 2007 Last revised: 30 Apr 2015

See all articles by Wachi Bandara

Wachi Bandara

Pluribus Labs

Robert Savickas

George Washington University - School of Business - Department of Finance

Date Written: April 29, 2015

Abstract

We provide a simple but fairly general theoretical model that produces many of the implications regarding the value premium and stock volatility suggested in prior empirical literature and provides a number of new implications. Our equilibrium model naturally incorporates technological efficiency and innovations as a driver of many of the known effects. We also perform simple empirical tests of our model’s new implications.

Keywords: asset productivity, asset liquidity, value premium, growth stocks, firm volatility, noise, ICAPM, elasticity of expectations

JEL Classification: G12

Suggested Citation

Bandara, Wachindra and Savickas, Robert, A Theory and Evidence on Technology, Value Premium, and Volatility (April 29, 2015). Available at SSRN: https://ssrn.com/abstract=959950 or http://dx.doi.org/10.2139/ssrn.959950

Wachindra Bandara

Pluribus Labs ( email )

1331 7th St.
Berkeley, CA 94710
United States

Robert Savickas (Contact Author)

George Washington University - School of Business - Department of Finance ( email )

Funger Hall, Suite 501R
2201 G Street, N.W.
Washington, DC 20052
United States
202-994-8936 (Phone)
202-994-5014 (Fax)

HOME PAGE: http://savickas.net/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
397
Abstract Views
1,797
rank
80,740
PlumX Metrics