We present a durable consumption-based asset pricing model with Epstein-Zin preferences and the pricing kernel accommodating the long-run consumption risk. Consumption growth includes a small predictable component as in Bansal and Yaron (2004). The model is estimated with simple econometric...

In this article I demonstrate the relationship between research and development expenditure, and rm productivity. Using data envelopment, I construct a measure of the firm-level distance from the industry-wide productivity frontier. Firms ex-ante further from the productivity frontier invest...

According to Arrow and Lind (1970), the more shareholders participate in an investment and the more dispersed the ownership structure becomes, the lower the discount rate of an individual investor is due to risk sharing. This implies that the valuation of the investment should increase....

Directed technical change is to a large extent driven by changes in the supply of workforce skills. I demonstrate that directed technical change does not respond to changes in the skill saturation of the workforce in a way that fully reflects supply of the actual existing skill level. I estimate...

This paper generalizes the business cycle model in Jovanovic (2006) along two important and meaningful dimensions: i) more general utility function; ii) more realistic distribution properties of the productivity shocks. Unlike the original model, I assume the power utility function of the...