TY  - JOUR
AU  - Grossman,Gene M.
AU  - Levinsohn,James A.
TI  - Import Competition and the Stock Market Return to Capital
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2420
PY  - 1990
Y2  - March 1990
UR  - http://www.nber.org/papers/w2420
L1  - http://www.nber.org/papers/w2420.pdf
N1  - Author contact info:
Gene M. Grossman
International Economics Section
Department of Economics
Princeton University
Princeton, NJ 08544
Tel: 609/258-4823
Fax: 609/258-1374
E-Mail: grossman@princeton.edu

James A. Levinsohn
Yale School of Management
PO Box 208200
New Haven, CT  06520
Tel: 734/763-2319
Fax: 734/764-2769
E-Mail: James.Levinsohn@yale.edu
AB  - We measure the responsiveness of returns to capital invested in six U.S. industries to shocks to the prices of competing import goods. Recognizing that most capital services are not traded on spot rental markets, we treat the intersectoral mobility of capital as the outgrowth of investment behavior. Then the return to capital is realized as an asset return to equity holders. . We model expected returns by CAPM, and relate "excess" returns in a period to unanticipated shocks to the variables that affect current and future profits. We find that positive shocks to import prices cause higher than normal stock market returns in all six industries. The magnitudes of the responses are consistent with the hypothesis that capital is highly sector specific in five of these industries.
ER  -