Replication data for: Does Innovation Cause Stock Market Runups? Evidence from the Great Crash

Principal Investigator(s):  View help for Principal Investigator(s) Tom Nicholas

Version:  View help for Version V1

Name File Type Size Last Modified
CRSP2540.dta application/octet-stream 22.9 MB 10/12/2019 04:26:AM
CRSPid.csv text/plain 4.3 KB 10/12/2019 04:26:AM
CRSPout.csv text/plain 1.8 MB 10/12/2019 04:26:AM
Common_Stock_1930s.csv text/plain 13.9 KB 10/12/2019 04:26:AM
LICENSE.txt text/plain 14.6 KB 10/12/2019 04:26:AM
Patents1910-1919.csv text/plain 489.1 KB 10/12/2019 04:26:AM
Patents1920-1929.csv text/plain 802.4 KB 10/12/2019 04:26:AM
Patents1930-1939.csv text/plain 1.3 MB 10/12/2019 04:26:AM
Read_Me.pdf application/pdf 10.7 KB 10/12/2019 04:26:AM
TB26.dta application/octet-stream 686 bytes 10/12/2019 04:26:AM

Project Citation: 

Nicholas, Tom. Replication data for: Does Innovation Cause Stock Market Runups? Evidence from the Great Crash. Nashville, TN: American Economic Association [publisher], 2008. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113255V1

Project Description

Summary:  View help for Summary This article examines the stock market's changing valuation of corporate patentable assets between 1910 and 1939. It shows that the value of knowledge capital increased significantly during the 1920s compared to the 1910s as investors responded to the quality of technological inventions. Innovation was an important driver of the late 1920s stock market runup, and the Great Crash did not reflect a significant revaluation of knowledge capital relative to physical capital. Although substantial quantities of influential patents were accumulated during the post-crash recovery, high technology firms did not earn significant excess returns over low technology firms for most of the 1930s. (JEL G14, N12, N22, O30)

Scope of Project

JEL Classification:  View help for JEL Classification
      G14 Information and Market Efficiency; Event Studies; Insider Trading
      N12 Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913-
      N22 Economic History: Financial Markets and Institutions: U.S.; Canada: 1913-
      O30 Innovation; Research and Development; Technological Change; Intellectual Property Rights: General


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