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Understanding US firm efficiency and its asset pricing implications

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Understanding US firm efficiency and its asset pricing implications. / Calice, G; Kutlu, L; Zeng, M.
In: Empirical Economics, Vol. 60, No. 2, 09.2019, p. 803-827.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Calice, G, Kutlu, L & Zeng, M 2019, 'Understanding US firm efficiency and its asset pricing implications', Empirical Economics, vol. 60, no. 2, pp. 803-827. https://doi.org/10.1007/s00181-019-01775-5

APA

Calice, G., Kutlu, L., & Zeng, M. (2019). Understanding US firm efficiency and its asset pricing implications. Empirical Economics, 60(2), 803-827. https://doi.org/10.1007/s00181-019-01775-5

CBE

Calice G, Kutlu L, Zeng M. 2019. Understanding US firm efficiency and its asset pricing implications. Empirical Economics. 60(2):803-827. https://doi.org/10.1007/s00181-019-01775-5

MLA

Calice, G, L Kutlu and M Zeng. "Understanding US firm efficiency and its asset pricing implications". Empirical Economics. 2019, 60(2). 803-827. https://doi.org/10.1007/s00181-019-01775-5

VancouverVancouver

Calice G, Kutlu L, Zeng M. Understanding US firm efficiency and its asset pricing implications. Empirical Economics. 2019 Sept;60(2):803-827. Epub 2019 Sept 14. doi: 10.1007/s00181-019-01775-5

Author

Calice, G ; Kutlu, L ; Zeng, M. / Understanding US firm efficiency and its asset pricing implications. In: Empirical Economics. 2019 ; Vol. 60, No. 2. pp. 803-827.

RIS

TY - JOUR

T1 - Understanding US firm efficiency and its asset pricing implications

AU - Calice, G

AU - Kutlu, L

AU - Zeng, M

PY - 2019/9

Y1 - 2019/9

N2 - We investigate the links between firm-level total factor productivity (TFP) growth and technical efficiency change, and their implications on firm-level stock returns. We estimate TFP 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.

AB - We investigate the links between firm-level total factor productivity (TFP) growth and technical efficiency change, and their implications on firm-level stock returns. We estimate TFP 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.

U2 - 10.1007/s00181-019-01775-5

DO - 10.1007/s00181-019-01775-5

M3 - Article

VL - 60

SP - 803

EP - 827

JO - Empirical Economics

JF - Empirical Economics

SN - 1435-8921

IS - 2

ER -