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Pástor, Ľuboš, and
Pietro Veronesi. 2009. "Technological Revolutions and Stock Prices."
,
99(4): 1451-83.
Show Article Details
DOI: 10.1257/aer.99.4.1451
Abstract:We develop a general equilibrium model in which stock prices of innovative
firms exhibit "bubbles" during technological revolutions. In the model, the
average productivity of a new technology is uncertain and subject to learning.
During technological revolutions, the nature of this uncertainty changes from
idiosyncratic to systematic. The resulting bubbles in stock prices are observable
ex post but unpredictable ex ante, and they are most pronounced for technologies
characterized by high uncertainty and fast adoption. We find empirical
support for the model's predictions in 1830-1861 and 1992-2005 when the
railroad and Internet technologies spread in the United States. (JEL G12, L86,
L92, N21, N22, N71, N72)
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Online Appendix
Authors:
Pástor, Ľuboš (U Chicago)
Veronesi, Pietro (U Chicago)
JEL Classifications:
G12: Asset Pricing; Trading volume; Bond Interest Rates
L86: Information and Internet Services; Computer Software
L92: Railroads and Other Surface Transportation
N21: Economic History: Financial Markets and Institutions: U.S.; Canada: Pre-1913
N22: Economic History: Financial Markets and Institutions: U.S.; Canada: 1913-
N71: Economic History: Transport, Trade, Energy, Technology, and Other Services: U.S.; Canada: Pre-1913
N72: Economic History: Transport, Trade, Energy, Technology, and Other Services: U.S.; Canada: 1913-
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