Essays in Technology and Asset Pricing PDF Download

Author: Po-Hsuan Hsu
Publisher:
ISBN:
Category :
Languages : en
Pages : 354

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Author: Ziemowit Konrad Bednarek
Publisher:
ISBN: 9781124140100
Category :
Languages : en
Pages : 185

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Author: Gerard Ivan Gennotte
Publisher:
ISBN:
Category :
Languages : en
Pages : 272

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Author: Wei Huang
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ISBN:
Category : Capital market
Languages : en
Pages : 266

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Author: René Marcel Stulz
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ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 300

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Author: Andrew Yeh-Chi Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 162

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Chapter 3 examines general restrictions on production technologies implied by asset prices. It shows that representative firm models which are consistent with asset price data require either large capital adjustment costs, or volatile investment-specific technology shocks. These restrictions hold regardless of preferences, beliefs, operating leverage, or the completeness of asset markets. The restrictions summarize the sense in which asset prices are anomalous with respect to the theory of optimal investment.

Author: Miao Zhang (Ph. D.)
Publisher:
ISBN:
Category :
Languages : en
Pages : 244

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My dissertation aims at understanding how firms' adoption of labor-saving production technologies affects their investment and employment decisions; and, ultimately, their stock returns. Chapter 1 theoretically studies a firm's decision to replace its routine-task labor with machines over the business cycle, and explores the asset pricing implications of this decision. The model extends the classical investment-based asset pricing models in which a firm's investment decisions are modeled as exercising real options. I extend the set of firm's real options to include both growth options, which increase the firm's output, and technology switching options, which increase the firm's efficiency, and focus on the latter options. A key assumption in my model is that switching from using routine-task labor to using machines interrupts firm production. Hence, the firm optimally chooses to make this switch when its profitability is low in order to minimize opportunity cost. As a result, if the economy experiences a negative shock, firms with routine-task labor can improve their value through exercising these switching options, making their value less sensitive to aggregate shocks. In the cross-section, firms with a higher share of routine-task labor should have lower expected rates of return for their stocks. Chapter 2 constructs an empirical measure of firms' share of routine-task labor, namely, RShare, and presents tests of the model's predictions on the investment, employment, and asset prices of firms with high and low RShares. I classify occupations into routine- and non-routine-task labor, following the labor economics literature, and I use the establishment-level occupational data from the Bureau of Labor Statistics to construct RShare at the firm level. Consistent with my model's predictions, I find that within an industry, firms with a higher share of routine-task labor (i) invest more in machines and reduce disproportionately more of their routine-task labor during economic downturns, and (ii) have lower equity betas and returns.

Author: Weiyang Qiu (Ph. D.)
Publisher:
ISBN:
Category :
Languages : en
Pages : 176

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(cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare.

Author: Baolian Wang
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 102

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Author: Xiaohong Zheng
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 196

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