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Growth Opportunities and Technology Shocks
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Journal Article
Growth Opportunities and Technology Shocks
2010
Overview
We propose a theoretically motivated procedure for measuring heterogeneity in firms' growth and document its empirical properties. Our model predicts that the sensitivity of firm stock returns to investment specific productivity shocks is greater for firms that derive a relatively large fraction of their market value from growth opportunities. We measure the unobservable asset composition (growth opportunities relative to assets in place) through observed differences in stock price sensitivity to z-shocks. We find that the IMC betas are able to identify heterogeneity in firms' investment responses to z-shock.. The firms not only invest more on average, but their investment increases more in response to a positive z-shock.
Publisher
American Economic Association,American Economic Assoc
Subject
