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http://bura.brunel.ac.uk/handle/2438/948
Title: | Equity prices, productivity growth and the "new economy" |
Authors: | Madsen, J Davis, EP |
Keywords: | New economy, productivity, economic growth, and equity prices. |
Issue Date: | 2003 |
Publisher: | Brunel University |
Citation: | Economics and Finance Working papers, Brunel University, 03-04 |
Abstract: | The increase in equity prices over the 1990s has to a large degree been attributed to permanently higher productivity growth that is derived from the ‘new economy’ and related research and development (R&D) expenditures. This paper establishes a rational expectations model of technology innovations and equity prices, which shows that under plausible assumptions, productivity advances can only have temporary effects on fundamentals of equity prices. Using data on R&D capital and fixed capital productivity for 11 OECD countries, the evidence give strong support for the model by suggesting that technology innovations indeed have only temporary effects on equity returns |
URI: | https://bura.brunel.ac.uk/handle/2438/948 |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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