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Technology shocks and stock returns: A long-term perspective

journal contribution
posted on 29.09.2022, 22:54 authored by Susan SharmaSusan Sharma, P K Narayan
Using patent data dating as far back as 1870, we compute local and global technology shocks. United States data reveal strong evidence of in-sample predictability particularly at longer horizons and during economic expansions, principally driven by global technology factors. We also discover strong evidence of time-varying predictability for the United States. We find that the global technology shock is a stronger time-varying predictor of stock returns, predicting returns in as many as 41% of sub-samples of data. Using OECD data for 11 countries, we find evidence of time-varying return predictability for seven countries; however, in-sample and long horizon predictability are, in general, weak.

History

Journal

Journal of Empirical Finance

Volume

68

Pagination

67 - 83

ISSN

0927-5398

Publication classification

C1 Refereed article in a scholarly journal