This paper introduces Schumpeter’s idea of creative destruction into asset pricing.The key point of our model is that small and value firms are more likelydestroyed during technological revolutions, resulting into higher expected returnsfor these stocks. A two-factor model including market...

The trading of securities on multiple markets raises the question of each market’s sharein the discovery of the informationally efficient price. We exploit salient distributionalfeatures of multivariate financial price processes to uniquely determine these contributions.Thereby we resolve the...