Technology-related peso problems in stock returns
Contribuinte(s) |
Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance |
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Data(s) |
2000
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Resumo |
Although empirical evidence suggests the contrary, many asset pricing models assume stock returns to be symmetrically distributed. In this paper it is argued that the occurrence of negative jumps in a firm's future earnings and, consequently, in its stock price, is positively related to the level of network externalities in the firm's product market. If the ex post frequency of these negative jumps in a sample does not equal the ex ante assessed probability of occurrence, the sample is subject to a peso problem. The hypothesis is tested for by regressing the skewness coefficient of a firm’s realised stock return distribution on the firm’s R&D intensity, i.e. the ratio of the firm’s research and development expenditure to its net sales. The empirical results support the technology-related peso problem hypothesis. In samples subject to such a peso problem, the returns are biased up and the variance is biased down. |
Formato |
1837 bytes 85524 bytes application/pdf text/plain |
Identificador |
http://hdl.handle.net/10227/130 URN:ISBN:951-555-631-7 951-555-631-7 0357-4598 |
Idioma(s) |
en |
Publicador |
Svenska handelshögskolan Swedish School of Economics and Business Administration |
Relação |
Working Papers 418 |
Direitos |
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Palavras-Chave | #asset pricing #peso problem #skewness #technology risk #Finance |
Tipo |
Text |