We examine the importance of asset pricing anomalies for the real economy. When firms interpret public information in the way it is reflected in market prices, informational inefficiencies manifesting in financial markets as anomalies can cause material real inefficiencies. We estimate the joint dynamic distribution of firm characteristics that have been linked to anomalies and other firm varia...

Technical Change and Total Factor Productivity Growth: The Case of Chinese Provinces In the literature technical change is mostly assumed to be exogenous and specified as a function of time. However, some exogenous external factors other than time can also affect technical change. In this paper we model technical change via time trend (purely external non-economic) as well as other exogenous (e...

Consider a stochastic frontier model with one-sided inefficiency u, and suppose that the scale of u depends on some variables (firm characteristics) z. A “one-step” model specifies both the stochastic frontier and the way in which u depends on z, and can be estimated in a single step, for example by maximum likelihood. This is in contrast to a “two-step” procedure, where the first step is to es...

In this paper we compare sources of economic growth in Japan and the United States from 1973 through 2000, focusing on the role of information technology (IT). We have adjusted Japanese data to conform to U.S. definitions in order to provide a rigorous comparison between the two economies. The contribution of information technology to economic growth was strikingly similar in Japan and the Unit...

This paper studies the relationship between export activities and firm-level productivity. Unique matching of German and Austrian micro data from 1994 to 2003 suggests that exporters are more productive by around 40 percent compared with non-exporters. Moreover, beside other analysis techniques, instrumental variable estimations suggest that exporting causes a rise in firm-level productivity. T...

Abstract. The agri-food sector has been and remains the basis of Ukraine’s economy. Today, in face industrial decline all-encompassing process deindustrialization economy, enterprises remain stable market players. Despite obstacles to development, agro-holdings have long dominated market, accumulating significant land financial resources. largest companies are Kernel, UkrLandFarming, MHP, Agrop...

Technological Change, Depletion and the U.S. Petroleum Industry*** A common claim in the nonrenewable resource literature is that improvements in technology may largely offset the effects of increasing scarcity over time. This study provides perhaps the first empirical evidence on this issue by analyzing the determinants of the average finding cost for additional petroleum in the U.S. over the ...

The relation between a firm’s stock return and its intangible investment ratio and asset tangibility is derived under the intangible-asset-augemnted (IAA) q-theory framework. Using firm level data and the Generalized Method of Moments (GMM), we estimate the model and three main results emerge. First, the IAA q-theory captures the value premium and the relation between R&D intensity and stock re...

A number of studies have explored the semiand nonparametric estimation of stochastic frontier models by using kernel regression or other nonparametric smoothing techniques. In contrast to popular deterministic nonparametric estimators, these approaches do not allow one to impose any shape constraints (or regularity conditions) on the frontier function. On the other hand, as many of the previous...

Much of recent Trade theory focuses on heterogeneity of firms and the differential impact trade policy might have on firms with different levels of productivity. A common problem is that most firm level dataset do not contain information on output prices of firms which makes it difficult to distinguish between productivity differences and differences in market power between firms. This paper de...