Registro de acceso restringido Este recurso no está disponible en acceso abierto por política de la editorial. No obstante, se puede acceder al texto completo desde la Universitat Jaume I o si el usuario cuenta con suscripción. Registre d'accés restringit Aquest recurs no està disponible en accés obert per política de l'editorial. No obstant això, es pot accedir al text complet des de la Universitat Jaume I o si l'usuari compta amb subscripció. Restricted access item This item isn't open access because of publisher's policy. The full--text version is only available from Jaume I University or if the user has a running suscription to the publisher's contents.
Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. AbstractWe propose a parsimonious statistical model of firm competition where structural differences in the strength of competitive pressure and the magnitude of return fluctuations above and below the system-wide benchmark translate into a skewed Subbotin or asymmetric exponential power (AEP) distribution of returns to capital. Empirical evidence from US data illustrates that the AEP distribution compares favorably to popular alternative models such as the symmetric or asymmetric Laplace density in terms of goodness of fit when entry and exit dynamics of markets are taken into account.
The question how the real and the financial side of a capitalist economy relate to each other has been a frequently recurring topic in the history of economic thought. Our paper addresses this question from the viewpoint that capital ultimately seeks returns from its perpetual reallocation and essentially faces two choices: it can either be "entrepreneurially" allocated to real economic activity, or it can be "financially" invested in legal claims against such activity. Adopting such a perspective, we study here how real and financial returns relate to each other over the past fifteen years, both within and across countries, by considering more than 30,000 publicly traded firms in more than forty countries that stand for 70% of the global population and about 90% of world income. We compare the average rates of return to both types of investment and their respective volatilities. While average returns, perhaps somewhat surprisingly, turn out to be roughly equal across the two domains, the volatility of financial returns exceeds 'real volatility' by an order of magnitude. From a systemic point of view, these findings raise the question why capital would seek out financial investments in the first place.
Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. AbstractTheory suggests that competition tends to equalize profit rates through the process of capital reallocation, and numerous studies have confirmed that profit rates are indeed persistent and mean-reverting. Recent empirical evidence further shows that fluctuations in the profitability of surviving corporations are well approximated by a stationary Laplace distribution. Here we show that a parsimonious diffusion process of corporate profitability that accounts for all three features of the data achieves better out-of-sample forecasting performance across different time horizons than previously suggested time series and panel data models. As a consequence of replicating the empirical distribution of profit rate fluctuations, the model prescribes a particular strength or speed for the mean-reversion of all profit rates, which leads to superior forecasts of individual time series when we exploit information from the cross-sectional collection of firms. The new model should appeal to managers, analysts, investors and other groups of corporate stakeholders who are interested in accurate forecasts of profitability. To the extent that mean-reversion in profitability is the source of predictable variation in earnings, our approach can also be used in forecasts of earnings and is thus useful for firm valuation.JEL classifications: C21, C22, C53, L10, D22 Willer for their able research assistance. P.M. expresses his gratitude to Universitat Jaume I for its hospitality during crucial junctions of this investigation. S.A. gratefully acknowlegdes financial support from Universitat Jaume I, project UJI-B2018-77, and the Generalitat Valenciana, project AICO/2018/036.
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