Creative Destruction and Asset Prices

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dc.contributor.author Grammig, Joachim de_DE
dc.contributor.author Jank, Stephan de_DE
dc.date.accessioned 2013-09-17 de_DE
dc.date.accessioned 2014-03-18T10:04:14Z
dc.date.available 2013-09-17 de_DE
dc.date.available 2014-03-18T10:04:14Z
dc.date.issued 2013 de_DE
dc.identifier.other 393554988 de_DE
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-70427 de_DE
dc.identifier.uri http://hdl.handle.net/10900/48024
dc.description.abstract We relate Schumpeter’s notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms are more likely to be destroyed by serendipitous invention activity, and investors demand higher expected returns for bearing that risk. Large-growth stocks provide protection against creative destruction, so they receive expected return discounts. An ICAPM that accounts for creative destruction risk explains a considerable part of the cross-sectional return variation of size- and book-to-market-sorted portfolios. The estimated risk compensations associated with creative destruction are economically and statistically significant. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en en
dc.subject.classification Wertpapier de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Creative destruction , Asset prices , Size premium , Invention activity en
dc.title Creative Destruction and Asset Prices en
dc.type WorkingPaper de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ workingPaper de_DE
utue.opus.id 7042 de_DE
utue.publikation.source University of Tübingen Working Papers in Economics and Finance ; 61 de_DE

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