Business cycle, reallocation of labor and asset prices
Name
976168163-MIT.pdf
Description
Full printable version
Size
1.9 MB
Format
Adobe PDF
Checksum (MD5)
bbdbd49c624ecf117fd1780b62a5f08e
Author(s)
Petukhov, Anton
Advisor(s)
Leonid Kogan.
Date Issued
2016
Publisher
Massachusetts Institute of Technology
Abstract
Empirical literature on reallocation of resources during business cycles provides an evidence of increased reallocation of labor across firms during downturns. In this paper I build a theoretical model with search frictions in the labor market, that is consistent with this observation, and study implications of search and match frictions for the cross section of stock returns. In the model firms having more growth opportunities benefit from recessions due to more slack in the labor market which allows them to expand quicker and convert higher share of their growth opportunities into profitable projects. This feature generates a return spread between value and growth firms. In the model sorts of stocks based on different growth indicators yield patterns documented empirically in previous studies.
Description
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2016.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 33-36).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
Terms of Use
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