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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
University of Tübingen Working Papers in Economics and Finance No. 61
Verlag: 
University of Tübingen, Faculty of Economics and Social Sciences, Tübingen
Zusammenfassung: 
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.
Schlagwörter: 
Creative destruction
Asset prices
Size premium
Invention activity
JEL: 
G10
G12
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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