The Information Technology Revolution and the Stock Market: Evidence

Hobijn, Bart; Jovanovic, Boyan

doi:10.3386/w7684

Cited by 126 publications

(167 citation statements)

References 13 publications

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“…8 Quantitatively, the most important terms to explain the evolution of the stock market are the value of adopted technologies. 9 Greenwood and Jovanovic (1999) and Hobjin and Jovanovic (2001) argue that the decline in stock market value during the 70s was driven by the arrival of new technologies that led to a decline in the market value of incumbent companies that were going to become uncompetitive in the new technological era. Unlike the 70s, the innovations that arrived in the 90s and 2000s made incumbent companies more productive.…”

Section: Theorymentioning

confidence: 99%

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations

Comín¹,

Gertler²,

Santacreu³

2009

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We develop a model in which innovations in an economy's growth potential are an important driving force of the business cycle. The framework shares the emphasis of the recent "new shock" literature on revisions of beliefs about the future as a source of fluctuations, but differs by tieing these beliefs to fundamentals of the evolution of the technology frontier. An important feature of the model is that the process of moving to the frontier involves costly technology adoption. In this way, news of improved growth potential has a positive effect on current hours. As we show, the model also has reasonable implications for stock prices. We estimate our model for data post-1984 and show that the innovations shock accounts for nearly a third of the variation in output at business cycle frequencies. The estimated model also accounts reasonably well for the large gyration in stock prices over this period. Finally, the endogenous adoption mechanism plays a significant role in amplifying other shocks.

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Section: Theorymentioning

confidence: 99%

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations

Comín¹,

Gertler²,

Santacreu³

2009

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“…First, we will apply the direct bubble tests as described above to individual stock price data in order to examine the extent to which bubbles are pervasive across equity markets or are confined to specific parts of it (for example, to specific sectors or simply to individual companies). Several researchers have argued that speculative bubbles, or bubble-like behaviour, originate from high technology sectors, because the fundamental value of stocks within such high growth sectors is very difficult to estimate (Shiller, 2000, Hobijn andJovanovic, 2001). Indeed, Cochrane (2003) argues that, "if there was a 'bubble,' or some behavioural overenthusiasm for stocks, it was concentrated on NASDAQ stocks, and NASDAQ tech and internet stocks in particular."…”

Section: Introductionmentioning

confidence: 99%

Speculative bubbles and the cross-sectional variation in stock returns

Anderson

Brooks

2014

International Review of Financial Analysis

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Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven fundamentals. EFM classification codes: 310, 330, 350 Acknowledgements: We are grateful to Rajesh Tharyan for providing a list of SEDOL codes matched with those from Datastream, and to Apostolos Katsaris, discussions with whom helped to shape the ideas for this paper.1

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“…This is transparent in, for example, new institutional approaches to accounting (see Dietrich 2001). Alternatively, the same logic is transparent in Milgrom and Roberts (1992), but also in Greenwood and Jovanovic (1999), Hobijn andJovanovic (2001), Brynjolfsson et al (2002) on the issue of 'intangible assets', which suggest that new flexible technologies reduce asset specificity and hence lead to vertical disintegration because of transaction cost factors. This has been further developed in Rajan and Zingales (2001), who consider that technological and financial revolutions have had an impact on the nature of firms.…”

Section: Conceptualizing Real-world Firms: Literature Reviewmentioning

confidence: 96%

Firm development as an integrated process: with evidence from the General Motors–Fisher Body case

Dietrich

Krafft

2010

J Evol Econ

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This paper argues that an adequate approach to the firm should be able to accommodate the complexities of actual firm development. The latter is conceptualized in terms of three general stages: prime movers or drivers of change, change processes, and change attractors. Furthermore, any "real-world" firm is both a technical and an institutional unit. To emphasize the importance of "real firm" analysis, the discussion presented here revolves around an understanding of the much considered case of General Motors and Fisher Body integration has developed over time. Generalization from this case suggests that an integrated view of the firm is necessary that combines the three stages and the two bases (technical and institutional). Six general perspectives on the firm are identified as having technical or institutional bases that are relevant in each of the three stages. This integrated approach to the firm is explored in terms of the general topic of firm development. It is concluded that, without an integrated approach to firm development, a potentially biased or incomplete analysis can result.

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The Information Technology Revolution and the Stock Market: Evidence

Cited by 126 publications

References 13 publications

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations

Speculative bubbles and the cross-sectional variation in stock returns

Firm development as an integrated process: with evidence from the General Motors–Fisher Body case

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