American Economic Review
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Опубликовано на портале: 02-11-2007Andrew B. Abel American Economic Review. 1990. Vol. 80. No. 2. P. 38-42.
This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States
Bond Risk Premia [статья]
Опубликовано на портале: 15-11-2007John H. Cochrane, Monika Piazzesi American Economic Review. 2005. Vol. 95. No. 1. P. 138-160.
We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one- to five-year maturity bonds with R2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the returnforecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.
Опубликовано на портале: 15-11-2004Burton G. Malkiel American Economic Review. 1963. Vol. 53. No. 5. P. 1004-1031.
The first half of 1962 witnessed one of the most precipitous decliues in stock market prices in recent history. In terms of the volume of trading and the magnitude of the daily erosion of stock values, one must look back to the crashed of 1929 and 1937 to find parallels. Moreover, the decline was not confined to U. S. stock prices, for a world-wide revaluation of equity values was transmitted from New York. For most professional financial observers of these developments, two aspects of the decline served as the foci of their analysis. There was first the sharp drop in the level of share prices. Second, and perhaps more interesting, there was a marked change in the structure of share prices, i.e. the relationships among equities of different characteristics.
Опубликовано на портале: 25-10-2007David M. Cutler, James Michael Poterba, Lawrence H. Summers American Economic Review. 1990. Vol. 80. No. 2. P. 63-68.
This paper summarizes our earlier research documenting the characteristic speculative dynamics of many asset markets and suggests a framework for understanding them. Our model incorporates "feedback traders," traders whose demand is based on the history of past returns rather than the expectation of future fundamentals. We use this framework to describe ways in which the characteristic return patterns might be generated, and also to address the long-standing question of whether profitable speculation stabilizes asset markets.
Опубликовано на портале: 03-10-2003Franco Modigliani, Merton H. Miller American Economic Review. 1958. Vol. 48. No. 3. P. 261-297.
The potential advantages of the market-value approach have long been appreciated; yet analytical results have been meager. What appears to be keeping this line of development from achieving its promise is largely the lack of an adequate theory of the effect of financial structure on market valuations, and of how these effects can be inferred from objective market data. It is with the development of such a theory and of its implications for the cost-of-capital problem that we shall be concerned in this paper. Our procedure will be to develop in Section I the basic theory itself and to give some brief account of its empirical relevance. In Section II we show how the theory can be used to answer the cost-of-capital questions and how it permits us to develop a theory of investment of the firm under conditions of uncertainty. Throughout these sections the approach is essentially a partial-equilibrium one focusing on the firm and "industry". Accordingly, the "prices" of certain income streams will be treated as constant and given from outside the model, just as in the standard Marshallian analysis of the firm and industry the prices of all inputs and of all other products are taken as given. We have chosen to focus at this level rather than on the economy as a whole because it is at firm and the industry that the interests of the various specialists concerned with the cost-of-capital problem come most closely together. Although the emphasis has thus been placed on partial-equilibrium analysis, the results obtained also provide the essential building block for a general equilibrium model which shows how those prices which are here taken as given, are themselves determined. For reasons of space, however, and because the material is of interest in its own right, the presentation of the general equilibrium model which rounds out the analysis must be deferred to a subsequent paper.
Опубликовано на портале: 16-11-2007Eugene F. Fama, Robert R. Bliss American Economic Review. 1987. Vol. 77. No. 4. P. 680-692.
Current 1 -year forward rates on 1 - to 5-year U.S. Treasury bonds are information about the current term structure of 1-year expected returns on the bonds, and forward rates track variation through time in 1-year expected returns. More interesting, 1 -year forward rates forecast changes in the 1 -year interest rate 2- to l-years ahead, and forecast power increases with the forecast horizon. We attribute this forecast power to a mean-reverting tendency in the 1-year interest rate
Опубликовано на портале: 15-11-2007Eugene F. Fama, Robert R. Bliss American Economic Review. 1987. Vol. 77. No. 4. P. 680-692.
Current 1-year forward rates on 1 - to 5-year U.S. Treasury bonds are information about the current term structure of 1-year expected returns on the bonds, and forward rates track variation through time in 1-year expected returns. More interesting, 1-year forward rates forecast changes in the 1-year interest rate 2- to l-years ahead, and forecast power increases with the forecast horizon. We attribute this forecast power to a mean-reverting tendency in the 1-year interest rate.
Опубликовано на портале: 17-09-2004John H. Kagel, Dan Levin American Economic Review. 1986. Vol. 76. No. 5. P. 894-920.
Experienced bidders show sensitivity to the strategic considerations underlying common value auctions, but not to item valuation considerations. Auctions with large numbers of bidders (6-7) produce more aggressive bidding than with small numbers (3-4), resulting in negative profits, the winner's curse. Providing public information about the value of the item increases seller revenue in the absence of a winner's curse, but produces the contrary result in its presence.
Urban Land Prices Under Uncertainty [статья]
Опубликовано на портале: 15-11-2004Sheridan Titman American Economic Review. 1985. Vol. 75. No. 3. P. 505-514.
The paper is organized as follows: Section I examines the type of building, characterized by its size, that will be built at a given date if the land is to be developed at that time. Section II presents a simple two-date, two states of nature, model for determining the value of the vacant land for the case where the future price of building units, and hence the size of the building that is to be constructed, is uncertain. A simple numerical example that illustrates this valuation technique is presented in Section III . Section IV presents a comparative static analysis of this valuation model which includes, among other things, an analysis of the effect of uncertainty on vacant land value. Section V examines a model where the current price and rental rate on building units as well as land values are endogenous and Section VI provides a numerical example which illustrates how the valuation technique can be applied to value land with many possible building dates and many possible states of nature corresponding to each date.