TY  - JOUR
AU  - Chun,Hyunbae
AU  - Kim,Jung-Wook
AU  - Lee,Jason
AU  - Morck,Randall
TI  - Patterns of Comovement: The Role of Information Technology in the U.S. Economy
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10937
PY  - 2004
Y2  - November 2004
UR  - http://www.nber.org/papers/w10937
L1  - http://www.nber.org/papers/w10937.pdf
N1  - Author contact info:
Hyunbae Chun
Department of Economics
Sogang University
Seoul 121-742 Korea
Tel: +82-2-705-8515
Fax: +82-2-704-8599
E-Mail: hchun@sogang.ac.kr

Jung-Wook Kim
Associate Professor of Finance
College of Business Administration
Seoul National University
Seoul, Korea
151-742
E-Mail: jwkim87@snu.ac.kr

Jason Lee, Counsel
House Committee on Commerce
2125 Rayburn House Office Building
Washington, DC 20515-6115

Randall Morck
Faculty of Business
University of Alberta
Edmonton, AB  T6G 2R6
CANADA
Tel: 780/492-5683
Fax: 780/492-3325
E-Mail: randall.morck@ualberta.ca
AB  - Firm-specific variation in stock returns and fundamental performance measures is significantly higher in industries that have a history of more investment in information technology (IT). We hypothesise that IT is associated with creative destruction or product differentiation, either of which can widen the performance difference between winner and loser firms. Thus, economy-level volatility can fall while firm-level volatility rises because firm-specific volatility cancels out in the aggregate. Our results are consistent with rising firm-specific variation in US stocks reflecting a rising pace of creative destruction; and with greater firm-specific variation in richer and faster growing countries reflecting more intensive creative destruction in those economies, though other explanations are probably valid as well.
ER  -