Resumen de A statistichal equilibrium perspective on corporate profitability
- español
La tesis muestra cómo la dinámica de un gran conjunto de empresas que cotizan en bolsa puede ser descrita de forma significativa mediante una única ecuación estocástica bajo la aproximación del equilibrio estadístico. Toda la dinámica de la rentabilidad del conjunto de empresas se caracteriza por dos parámetros que pueden derivarse de la distribución del equilibrio. El único parámetro idiosincrásico es la velocidad de la reversión media.
- English
In the present thesis, we argue that firm profitability can be conveniently characterized by one and the same diffusion process for all firms, akin to Gibrat’s seminal idea of a common stochastic description for the dynamics of firm growth. Here we show that the diffusion of profit rates applies across all surviving corporations, irrespective of their size or industry, which is not true for growth rates. The diffusion process is empirically consistent with both the cross-sectional distribution of profit rates and the individual time series of corporate profit rates, leading to the notion of a statistical equilibrium. This has stark and unexpected implications for our understanding of individual destinies, since the model and data suggest that idiosyncratic efforts have no impact on the aggregate distributional outcome. Instead, idiosyncratic efforts merely affect the individual persistence of abnormal profits from the system-wide norm. Put differently, corporations have to participate in the same game and can merely choose the speed at which they play it, but they cannot bend the rules.
