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Bubbles and the value of innovation
Haddad, Valentin; Ho, Paul; Loualiche, Erik - In: Journal of financial economics 145 (2022) 1, pp. 69-84
Persistent link: https://www.econbiz.de/10013473705
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Bitcoin : Speculative Asset or Innovative Technology?
Lee, Adrian D. - 2020
We unite investment by speculators and tech-savvy investors with a heterogeneous agent model.While speculators seek to profit from extrapolating the price trends, tech-savvy investors trade based on the prospective value of Bitcoin, which is a function of factors that capture the market demand...
Persistent link: https://www.econbiz.de/10012836296
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Innovation Futures, The Nature of Speculation, and Stock Valuations
Obrimah, Oghenovo A. - 2020
less prone to extreme swings in value. Pricing of innovation futures of publicly traded firms induces speculation on … innovation futures of said firms. The formal theoretical model demonstrates that speculation on innovation futures does not … coincide with either of speculation that derives from heterogeneity of information (noise), or speculation that derives from …
Persistent link: https://www.econbiz.de/10012845014
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Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations
Pedersen, Thomas Quistgaard - 2020
bubbles, can lead to severe size distortionswhen using either fixed or automatic (based on information criteria) lag … housing bubbles compared to existing evidence …
Persistent link: https://www.econbiz.de/10012854659
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The effect of Innovation Similarity on Asset Prices : Evidence from Patents’ Big Data
Bekkerman, Ron - 2020
We analyze 7.7 million patents via textual analysis to develop a novel patent-to-patent measure of innovation similarity among firms. With this measure, we investigate whether stock price movements reveal information about firms' technological connectedness. We find that investors impound...
Persistent link: https://www.econbiz.de/10012852613
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Innovative Activity, Growth Options and the Heterogeneous Return Performance of Cross-border vs. Domestic M&A Firms
Del Viva, Luca - 2020
M&A deals in the US are done mostly at the domestic level. We examine the M&A performance of US acquirers during 1991-2014 based on the enhanced innovative capacity afforded by cross-border deals. We find that US firms engaging in cross-border M&A have superior innovative capacity, which results...
Persistent link: https://www.econbiz.de/10012836281
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Catastrophe Bonds as Innovations in the CAPM
Su, Fei - 2015
Catastrophe bonds are insurance linked securities that transfer catastrophe risks from the insurance industry to financial markets. These risks cannot be hedged with ordinary financial securities. Due to market incompleteness, arbitrage pricing methods generally do not yield uniquely determined...
Persistent link: https://www.econbiz.de/10013013809
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The Risks of Schumpeterian Competition
Andrei, Daniel - 2020
In a game-theoretic model where agents compete for claims to a consumption stream, we characterize how creative destruction affects risk, wealth, and prices. Overinvestment not only imposes excessive disruption risk on existing assets and higher technological uncertainty, it also increases the...
Persistent link: https://www.econbiz.de/10012853429
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Innovation in Decentralized Markets : Synthetic Products vs. Trading Technology
Rostek, Marzena J.; Yoon, Ji Hee - 2022
Advances in market-clearing technology for multiple assets and synthetic products present alternative ways to leverage complementarities and substitutabilites in asset payoffs. This paper compares their equilibrium and welfare effects. Our results underscore the difference the price impact makes...
Persistent link: https://www.econbiz.de/10013314279
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Innovation and idiosyncratic risk : an industry and firm level analysis
Mazzucato, Mariana (contributor);  … - 2004
Recent studies find that idiosyncratic risk (IR) has increased since the 1960's and attribute this to economy wide factors such as the role of the IT revolution. To gain further insights into why IR has increased over time, our paper uses industry level data and firm level data to study if...
Persistent link: https://www.econbiz.de/10002570986