Essays in financial economics

This dissertation consists of three chapters. Chapter 1 proposes a dynamic general equilibrium model to study jointly (i) the pace of technological progress and (ii) asset pricing properties of investment in innovation. Risk is a key characteristic that links the two together. Both empirically and in my theory innovation activity is associated with elevated levels of idiosyncratic risk. In the model, idiosyncratic risk is driven by uncertain productivity improvements and disruption that emerge in the process of innovation. Thus idiosyncratic risk is an instrumental determinant of the rate of technological progress and expected returns on investment in innovation. A calibrated version of the model provides an accurate quantitative description of the venture capital cycles both in terms of investment flows and financial returns.

Name thesis:degree_name

Doctoral

Department dc:contributor.department

Sloan School of Management

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2019

Author dc:creator

• Petukhov, Anton.

Advisor dc:contributor.advisor

• Hui Chen and Leonid Kogan.

• Sloan School of Management.

Statement dc:rights

• MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

https://hdl.handle.net/1721.1/123581

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/123581