Jason Lee, Counsel
House Committee on Commerce
2125 Rayburn House Office Building
Washington, DC 20515-6115
NBER Working Papers and Publications
|November 2004||Patterns of Comovement: The Role of Information Technology in the U.S. Economy|
with Hyunbae Chun, Jung-Wook Kim, Randall Morck: w10937
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 a...
|April 2004||Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks|
with Jung-Wook Kim, Randall K. Morck: w10410
Using 550 million limit orders submitted in the Korea Stock Exchange, we estimate demand and supply elasticities of heterogeneous investor types and their changes around the Asian financial crisis. We find that domestic individuals have substantially more inelastic demand and supply curves than domestic institutions and foreign investors. The crisis permanently reduced price elasticities of domestic individuals by 50% but had no effect on those of foreign investors. Institutional changes restricting margin purchases, implemented after the crisis, seem particularly important in explaining the dramatic drop. Information heterogeneity, availability of close substitutes and arbitrage risk also explain time-series variations in elasticities.