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Risk-adjusted capital allocation and misallocation
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DOI：10.1016/j.jfineco.2022.06.001.png)
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We develop a theory linking misallocation, i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm -level risk and (ii) the magnitude of risk premia. Stock market-based measures imply that risk considerations explain about 25% of MPK dispersion among US firms and rationalize a large persistent component in firm-level MPK, consistent with the micro-level data. Time -varying risk premia lead to countercyclical MPK dispersion alongside procyclical capital reallocation. Risk-based MPK dispersion in part shapes the dynamic behavior of aggregate productivity, namely, its long-run level, volatility and skewness.(c) 2022 Published by Elsevier B.V.
Keyword:
Misallocation
Capital reallocation
Aggregate TFP
Risk premia
Cross-section of stock returns
Costs of business cycles
期刊
IF:
12
论文数:
3.8K
被引数:
5.5W
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AMERICAN ECONOMIC REVIEW
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