{"id":7437,"date":"2018-12-11T10:27:17","date_gmt":"2018-12-11T09:27:17","guid":{"rendered":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/"},"modified":"2018-12-11T10:27:17","modified_gmt":"2018-12-11T09:27:17","slug":"risk-adjusted-capital-allocation-and-misallocation","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/","title":{"rendered":"Risk-Adjusted Capital Allocation and Misallocation"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p><strong>Abstract<\/strong><\/p><p><strong>\u00a0<\/strong><\/p><p><\/p><p><\/p><p>We develop a theory linking \u201cmisallocation,\u201d i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In our setup, firms differ in their exposure to these risks, which we show leads naturally to heterogeneity in firm-level risk premia and, more importantly, MPK. The theory predicts that cross-sectional dispersion in MPK (i) depends on cross-sectional dispersion in risk exposures and (ii) fluctuates with the price of risk, and thus is countercyclical. We document strong empirical support for these predictions. We devise a strategy to quantify variation in firm-level risk exposures using data on the dispersion of expected stock market returns. Our estimates imply that risk considerations explain almost 40% of observed MPK dispersion among US firms and in particular, can rationalize a large persistent component in firm-level MPK deviations. Our framework provides a sharp link between aggregate volatility, cross-sectional asset pricing and long-run economic performance \u2013 MPK dispersion induced by risk premium effects, although not prima facie inefficient, lowers the average level of aggregate TFP by as much as 7%, suggesting large \u201cproductivity costs\u201d of business cycles.<\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"","protected":false},"author":0,"featured_media":7438,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2018-12-20 12:30:00","event_end_date":"2018-12-20 13:45:00","event_speaker_name":"Lukas Schmid - Duke University ","event_speaker_link":"","event_is_online":false,"event_location":"JFK Building \r\n29, avenue Kennedy\r\nL-1855 Luxembourg\r\nGround Floor, Nancy-Metz Room","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[309],"events-type":[],"organisation":[116,101,226],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Risk-Adjusted Capital Allocation and Misallocation - Universit\u00e9 du Luxembourg<\/title>\n<meta name=\"description\" content=\"Abstract\u00a0We develop a theory linking \u201cmisallocation,\u201d i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Risk-Adjusted Capital Allocation and Misallocation\" \/>\n<meta property=\"og:description\" content=\"Abstract\u00a0We develop a theory linking \u201cmisallocation,\u201d i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/\" \/>\n<meta property=\"og:site_name\" content=\"UNI FR\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.lu\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2560\" \/>\n\t<meta property=\"og:image:height\" content=\"2560\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Dur\u00e9e de lecture estim\u00e9e\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/\",\"url\":\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/\",\"name\":\"Risk-Adjusted Capital Allocation and Misallocation - Universit\u00e9 du Luxembourg\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\"},\"primaryImageOfPage\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#primaryimage\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/12\/risk_adjusted_capital_allocation_and_misallocation.jpg\",\"datePublished\":\"2018-12-11T09:27:17+00:00\",\"dateModified\":\"2018-12-11T09:27:17+00:00\",\"description\":\"Abstract\u00a0We develop a theory linking \u201cmisallocation,\u201d i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In\",\"breadcrumb\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#breadcrumb\"},\"inLanguage\":\"fr-FR\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/\"]}]},{\"@type\":\"ImageObject\",\"inLanguage\":\"fr-FR\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#primaryimage\",\"url\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/12\/risk_adjusted_capital_allocation_and_misallocation.jpg\",\"contentUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/12\/risk_adjusted_capital_allocation_and_misallocation.jpg\",\"width\":780,\"height\":1000},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.uni.lu\/fr\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Events\",\"item\":\"https:\/\/www.uni.lu\/fr\/events\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Risk-Adjusted Capital Allocation and Misallocation\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\",\"url\":\"https:\/\/www.uni.lu\/fr\/\",\"name\":\"Uni.lu\",\"description\":\"Universit\u00e9 du Luxembourg\",\"publisher\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#organization\"},\"alternateName\":\"Universit\u00e9 du Luxembourg\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.uni.lu\/fr\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"fr-FR\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#organization\",\"name\":\"Universit\u00e9 du Luxembourg\",\"alternateName\":\"Uni.lu\",\"url\":\"https:\/\/www.uni.lu\/fr\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"fr-FR\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\",\"contentUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\",\"width\":2560,\"height\":2560,\"caption\":\"Universit\u00e9 du Luxembourg\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/\"},\"sameAs\":[\"https:\/\/www.facebook.com\/uni.lu\",\"https:\/\/www.linkedin.com\/school\/university-of-luxembourg\/\",\"https:\/\/www.instagram.com\/uni.lu\",\"https:\/\/www.youtube.com\/@uni_lu\",\"https:\/\/en.wikipedia.org\/wiki\/University_of_Luxembourg\"]}]}<\/script>\n<!-- \/ Yoast SEO Premium plugin. -->","yoast_head_json":{"title":"Risk-Adjusted Capital Allocation and Misallocation - Universit\u00e9 du Luxembourg","description":"Abstract\u00a0We develop a theory linking \u201cmisallocation,\u201d i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/","og_locale":"fr_FR","og_type":"article","og_title":"Risk-Adjusted Capital Allocation and Misallocation","og_description":"Abstract\u00a0We develop a theory linking \u201cmisallocation,\u201d i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In","og_url":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/","og_site_name":"UNI FR","article_publisher":"https:\/\/www.facebook.com\/uni.lu","og_image":[{"width":2560,"height":2560,"url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","type":"image\/jpeg"}],"twitter_card":"summary_large_image","twitter_misc":{"Dur\u00e9e de lecture estim\u00e9e":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/","url":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/","name":"Risk-Adjusted Capital Allocation and Misallocation - Universit\u00e9 du Luxembourg","isPartOf":{"@id":"https:\/\/www.uni.lu\/fr\/#website"},"primaryImageOfPage":{"@id":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#primaryimage"},"image":{"@id":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#primaryimage"},"thumbnailUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/12\/risk_adjusted_capital_allocation_and_misallocation.jpg","datePublished":"2018-12-11T09:27:17+00:00","dateModified":"2018-12-11T09:27:17+00:00","description":"Abstract\u00a0We develop a theory linking \u201cmisallocation,\u201d i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In","breadcrumb":{"@id":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#breadcrumb"},"inLanguage":"fr-FR","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/"]}]},{"@type":"ImageObject","inLanguage":"fr-FR","@id":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#primaryimage","url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/12\/risk_adjusted_capital_allocation_and_misallocation.jpg","contentUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/12\/risk_adjusted_capital_allocation_and_misallocation.jpg","width":780,"height":1000},{"@type":"BreadcrumbList","@id":"https:\/\/www.uni.lu\/fr\/events\/risk-adjusted-capital-allocation-and-misallocation\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/www.uni.lu\/fr\/"},{"@type":"ListItem","position":2,"name":"Events","item":"https:\/\/www.uni.lu\/fr\/events\/"},{"@type":"ListItem","position":3,"name":"Risk-Adjusted Capital Allocation and Misallocation"}]},{"@type":"WebSite","@id":"https:\/\/www.uni.lu\/fr\/#website","url":"https:\/\/www.uni.lu\/fr\/","name":"Uni.lu","description":"Universit\u00e9 du Luxembourg","publisher":{"@id":"https:\/\/www.uni.lu\/fr\/#organization"},"alternateName":"Universit\u00e9 du Luxembourg","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.uni.lu\/fr\/?s={search_term_string}"},"query-input":"required name=search_term_string"}],"inLanguage":"fr-FR"},{"@type":"Organization","@id":"https:\/\/www.uni.lu\/fr\/#organization","name":"Universit\u00e9 du Luxembourg","alternateName":"Uni.lu","url":"https:\/\/www.uni.lu\/fr\/","logo":{"@type":"ImageObject","inLanguage":"fr-FR","@id":"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/","url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","contentUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","width":2560,"height":2560,"caption":"Universit\u00e9 du Luxembourg"},"image":{"@id":"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/"},"sameAs":["https:\/\/www.facebook.com\/uni.lu","https:\/\/www.linkedin.com\/school\/university-of-luxembourg\/","https:\/\/www.instagram.com\/uni.lu","https:\/\/www.youtube.com\/@uni_lu","https:\/\/en.wikipedia.org\/wiki\/University_of_Luxembourg"]}]}},"_links":{"self":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events\/7437"}],"collection":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events"}],"about":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/types\/events"}],"replies":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/comments?post=7437"}],"version-history":[{"count":0,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events\/7437\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/media\/7438"}],"wp:attachment":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/media?parent=7437"}],"wp:term":[{"taxonomy":"events-topic","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events-topic?post=7437"},{"taxonomy":"events-type","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events-type?post=7437"},{"taxonomy":"organisation","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/organisation?post=7437"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}