| dc.contributor.author | Kogan, Leonid | |
| dc.contributor.author | Papanikolaou, Dimitris | |
| dc.date.accessioned | 2015-09-24T14:17:14Z | |
| dc.date.available | 2015-09-24T14:17:14Z | |
| dc.date.issued | 2014-03 | |
| dc.date.submitted | 2013-08 | |
| dc.identifier.issn | 00221082 | |
| dc.identifier.issn | 1540-6261 | |
| dc.identifier.uri | http://hdl.handle.net/1721.1/98887 | |
| dc.description.abstract | We explore the impact of investment-specific technology (IST) shocks on the cross section of stock returns. Using a structural model, we show that IST shocks have a differential effect on the value of assets in place and the value of growth opportunities. This differential sensitivity to IST shocks has two main implications. First, firm risk premia depend on the contribution of growth opportunities to firm value. Second, firms with similar levels of growth opportunities comove with each other, giving rise to the value factor in stock returns and the failure of the conditional CAPM. Our empirical tests confirm the model's predictions. | en_US |
| dc.language.iso | en_US | |
| dc.publisher | American Finance Association/Wiley | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1111/jofi.12136 | en_US |
| dc.rights | Creative Commons Attribution-Noncommercial-Share Alike | en_US |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/4.0/ | en_US |
| dc.source | Other repository | en_US |
| dc.title | Growth Opportunities, Technology Shocks, and Asset Prices | en_US |
| dc.type | Article | en_US |
| dc.identifier.citation | Kogan, Leonid, and Dimitris Papanikolaou. “Growth Opportunities, Technology Shocks, and Asset Prices.” The Journal of Finance 69, no. 2 (March 17, 2014): 675–718. | en_US |
| dc.contributor.department | Sloan School of Management | en_US |
| dc.contributor.mitauthor | Kogan, Leonid | en_US |
| dc.relation.journal | The Journal of Finance | en_US |
| dc.eprint.version | Original manuscript | en_US |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
| eprint.status | http://purl.org/eprint/status/NonPeerReviewed | en_US |
| dspace.orderedauthors | Kogan, Leonid; Papanikolaou, Dimitris | en_US |
| dc.identifier.orcid | https://orcid.org/0000-0001-9387-9728 | |
| mit.license | OPEN_ACCESS_POLICY | en_US |
| mit.metadata.status | Complete | |
