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Article: Technology prospects and the cross-section of stock returns

TitleTechnology prospects and the cross-section of stock returns
Authors
Hsu, PHHuang, D
KeywordsFactor models
Patents
Technological innovations
Tracking portfolios
Issue Date2010
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin
Citation
Journal Of Empirical Finance, 2010, v. 17 n. 1, p. 39-53 How to Cite?
DOI: http://dx.doi.org/10.1016/j.jempfin.2009.08.001
AbstractIn an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by U.S. patent shocks, and find that this factor explains the growth of aggregate consumption, helps to price important stock portfolios, and carries significant risk premium. Our empirical results suggest the existence of technology risk in the cross-section of stock returns. © 2009 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/141769
ISSN
0927-5398
2023 Impact Factor: 2.1
2023 SCImago Journal Rankings: 0.927
SSRN
1104387
ISI Accession Number ID
WOS:000273908200003
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorHsu, PHen_HK
dc.contributor.authorHuang, Den_HK
dc.date.accessioned2011-09-27T03:00:41Z-
dc.date.available2011-09-27T03:00:41Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Empirical Finance, 2010, v. 17 n. 1, p. 39-53en_HK
dc.identifier.issn0927-5398en_HK
dc.identifier.urihttp://hdl.handle.net/10722/141769-
dc.description.abstractIn an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by U.S. patent shocks, and find that this factor explains the growth of aggregate consumption, helps to price important stock portfolios, and carries significant risk premium. Our empirical results suggest the existence of technology risk in the cross-section of stock returns. © 2009 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfinen_HK
dc.relation.ispartofJournal of Empirical Financeen_HK
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal Of Empirical Finance>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 17, ISSUE 1, (2010)] DOI 10.1016/j.jempfin.2009.08.001-
dc.subjectFactor modelsen_HK
dc.subjectPatentsen_HK
dc.subjectTechnological innovationsen_HK
dc.subjectTracking portfoliosen_HK
dc.titleTechnology prospects and the cross-section of stock returnsen_HK
dc.typeArticleen_HK
dc.identifier.emailHsu, PH: paulhsu@hku.hken_HK
dc.identifier.authorityHsu, PH=rp01553en_HK
dc.description.naturepreprinten_US
dc.identifier.doi10.1016/j.jempfin.2009.08.001en_HK
dc.identifier.scopuseid_2-s2.0-71349087496en_HK
dc.identifier.hkuros210273-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-71349087496&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume17en_HK
dc.identifier.issue1en_HK
dc.identifier.spage39en_HK
dc.identifier.epage53en_HK
dc.identifier.isiWOS:000273908200003-
dc.publisher.placeNetherlandsen_HK
dc.identifier.ssrn1104387-
dc.identifier.scopusauthoridHsu, PH=8974031100en_HK
dc.identifier.scopusauthoridHuang, D=36070578200en_HK
dc.identifier.citeulike5629509-
dc.identifier.issnl0927-5398-

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