Creative Destruction and Asset Prices

DSpace Repository


Dateien:

URI: http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-70427
http://hdl.handle.net/10900/48024
Dokumentart: WorkingPaper
Date: 2013
Source: University of Tübingen Working Papers in Economics and Finance ; 61
Language: English
Faculty: 6 Wirtschafts- und Sozialwissenschaftliche Fakultät
Department: Wirtschaftswissenschaften
DDC Classifikation: 330 - Economics
Keywords: Wertpapier
Other Keywords:
Creative destruction , Asset prices , Size premium , Invention activity
License: http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en
Show full item record

Abstract:

We relate Schumpeter’s notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms are more likely to be destroyed by serendipitous invention activity, and investors demand higher expected returns for bearing that risk. Large-growth stocks provide protection against creative destruction, so they receive expected return discounts. An ICAPM that accounts for creative destruction risk explains a considerable part of the cross-sectional return variation of size- and book-to-market-sorted portfolios. The estimated risk compensations associated with creative destruction are economically and statistically significant.

This item appears in the following Collection(s)