Calice_TFP and Efficiency Resubmit FINAL VERSION.pdf (698.13 kB)
Download fileUnderstanding US firm efficiency and its asset pricing implications
journal contribution
posted on 2019-11-12, 09:45 authored by Giovanni CaliceGiovanni Calice, Levent Kutlu, Ming ZengWe investigate the link between firm-level total factor productivity (TFP) growth, technical efficiency change, and their implications on firm-level stock returns. We estimate total factor productivity growth of US firms between 1966 and 2015 and decompose TFP growth into returns to scale, technical progress, and technical efficiency change components. We show that most of the variation in TFP growth is explained by variation in technical efficiency change. Moreover, we examine the effects of important macro- and micro-level factors on inefficiency as well as its asset pricing implications. We find that low-efficiency firms are more vulnerable to a wide class of aggregate economic shocks, and the well-known five stock return anomalies (Fama and French in J Financ Econ 116(1):1–22, 2015) are more pronounced among those firms. Our results also emphasize the role of macroeconomic determinants of efficiency, and the stability effects of many useful policy targets on firm-level TFP.
History
School
- Business and Economics
Department
- Business
Published in
Empirical EconomicsVolume
60Pages
803–827Publisher
Springer VerlagVersion
- AM (Accepted Manuscript)
Rights holder
© Springer VerlagPublisher statement
This is a post-peer-review, pre-copyedit version of an article published in Empirical Economics. The final authenticated version is available online at: https://doi.org/10.1007/s00181-019-01775-5Acceptance date
2019-09-14Publication date
2019-09-25Copyright date
2021ISSN
0377-7332eISSN
1435-8921Publisher version
Language
- en