Is the IT revolution over? An asset pricing view.

Format:

Book

Thesis/Dissertation

Author/Creator:

Ward, Colin, author.

Contributor:

Gomes, Joao F., degree supervisor.

University of Pennsylvania. Finance.

Language:

English

Subjects (All):

Economics, Finance.

Finance--Penn dissertations.

Penn dissertations--Finance.

Local Subjects:

Economics, Finance.

Finance--Penn dissertations.

Penn dissertations--Finance.

Genre:

Academic theses.

Physical Description:

1 online resource (77 pages)

Contained In:

Dissertation Abstracts International 75-09A(E).

Place of Publication:

[Philadelphia, Pennsylvania] : University of Pennsylvania ; Ann Arbor, MI : ProQuest, 2014.

System Details:

Mode of access: World Wide Web.

text file

Summary:

I develop a new method that puts structure on financial market data to forecast economic outcomes. I apply it to study the IT sector's transition to its long-run share in the US economy, along with its implications for future growth. Future average annual productivity growth is predicted to fall to 52bps from the 87bps recorded over 1974--2012, due to intensifying IT sector competition and decreasing returns to employing IT. My median estimate indicates the transition ends in 2033. I estimate these numbers by building an asset pricing model that endogenously links economy-wide growth to IT sector innovation governed by the sector's market valuation, and by calibrating it to match historical data on factor shares, price-dividend ratios, growth rates, and discount rates. Consistent with this link, I show empirically that the IT sector's price-dividend ratio univariately explains nearly half of the variation in future productivity growth.

Notes:

Source: Dissertation Abstracts International, Volume: 75-09(E), Section: A.

Adviser: Joao F. Gomes.

Department: Finance.

Thesis Ph.D. University of Pennsylvania 2014.

Local Notes:

School code: 0175.

ISBN:

9781303937170

Access Restriction:

Restricted for use by site license.