Technology replacement and stock returns


Grant Data
Project Title
Technology replacement and stock returns
Principal Investigator
Dr Hsu, Po-Hsuan   (Principal investigator)
Co-Investigator(s)
Professor Hou Kewei   (Co-Investigator)
Duration
24
Start Date
2015-08-01
Completion Date
2017-07-31
Amount
360870
Conference Title
Presentation Title
Keywords
Technology, Stock returns, Innovation, Risk premium
Discipline
Finance
Panel
Business Studies (B) (under H Panel before 2011/12)
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
17500015
Grant Type
General Research Fund (GRF)
Funding Year
2015/2016
Status
On-going
Objectives
2) Construct a full-fledged model to capture the role of technology replacement in the production function, investment and stock returns, and the pricing kernel and determine how the effects of such replacement on stock returns vary in different conditions. All of the model implications will form testable hypotheses to guide my empirical analyses. 3) Collect the necessary data to construct empirical proxies for technology replacement across industries and years. 4) Conduct pooled or Fama-MacBeth regressions to empirically test the hypotheses derived from the model, particularly those concerning the explanatory power of technology replacement for firm profits and stock returns. Conduct subsample Fama-MacBeth regressions to empirically test conditional relations suggested by the model. 5) Construct one- and two-way sorted stock portfolios to further test the model-derived hypotheses empirically, particularly those on the explanatory power of technology replacement for stock returns, with the variation of other conditional factors.