Growth Opportunities, Technology Shocks and Asset Prices: Evidence from China
15.07.2010
15.07.2010
12:00 - 13:00
Milan
Fondazione Eni Enrico Mattei
Corso Magenta 63
20123 Milan
h. 12.00 Seminar
h. 13.00 Light Lunch
Marianna Caccavaio, FEEM and European Central Bank
Seminars Office, seminars@feem.it
This paper investigates the empirical relationship between growth opportunity, technology shocks and asset prices in China. Although there have been a large number of studies on developed economies, the relationship between stock market movements and firm characteristics in China is still unclear. Following Kogan and Papanikolaou (AER 2010) we identify firms with high growth opportunities based on the covariance of their stock returns with the investment-specific productivity shock.. We find that, empirically, the procedure is able to identify economically significant differences in firms’ investment behavior, as well as risk and risk premia in their stock returns.
Attachments
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Growth Opportunities, Technology Shocks and Asset Prices: Evidence from China
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