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Technology shocks and stock returns: A long-term perspective by Sharma, Susan Sunila (author);Narayan, Paresh Kumar (author) is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Technology shocks and stock returns: A long-term perspective about?
Using patent data dating as far back as 1870, we compute local and global technology shocks. United States data reveal strong evidence of in-sample predictability particularly at longer horizons and during economic expansions, principally driven by global technology factors. We also discover strong evidence of time-varying predictability for the United States. We find that the global technology shock is a stronger time-varying predictor of stock returns, predicting returns in as many as 41% of sub-samples of data. Using OECD data for 11 countries, we find evidence of time-varying return predictability for seven countries; however, in-sample and long horizon predictability are, in general, weak.
Who reads Technology shocks and stock returns: A long-term perspective?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Sharma, Susan Sunila (author);Narayan, Paresh Kumar (author)
- Publisher
- Elsevier BV
- Published
- 2022
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)