Forthcoming Seminar: Stavros Panageas

Tuesday 20 October in LT1 at 17:00

Stavros Panageas
Assistant Professor of Finance
Univ. of Chicago Booth School of Business and NBER: http://faculty.chicagobooth.edu/stavros.panageas/

The Demographics of Innovation and Asset Returns
Nicolae Gârleanu UC Berkeley, NBER, and CEPR, Leonid Kogan
MIT and NBER and Stavros Panageas

Date: Tuesday 20 October 2009
Time: 17:00 to 18:30
Venue: LT1, Tanaka Building

Bio Sketch:
Stavros Panageas is an Assistant Professor of Finance at the University of Chicago (Booth school of Business) and a member of the National Bureau of Economic Research (NBER). Previously he taught at the University of Pennsylvania's Wharton School of Business, and has been a visiting scholar at the Federal Reserve Bank of Minneapolis. Currently he is a visiting Fellow at the London School of Economics. He earned a Lizentiat in Economics from the University of St Gallen in 1997 and a PhD in economics from the Massachusetts Institute of Technology in 2005.

Abstract:
We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on existing firms and workers, reducing the profits of existing firms and eroding the human capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor, which we call "displacement risk." This risk helps explain several empirical patterns, including the existence of the growth-value factor in returns, the value premium, and the high equity premium. We assess the magnitude of displacement risk using estimates of inter-cohort consumption differences across households and find support for the model