Journal of Political Economy
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Опубликовано на портале: 11-11-2004Eugene F. Fama Journal of Political Economy. 1980. Vol. 88. No. 2. P. 288-307.
This paper attempts to explain how the separation of security ownership and control, typical of large corporations, can be an efficient form of economic organization. We first set aside the presumption that a corporation has owners in any meaningful sense. The entrepreneur is also laid to rest, at least for the purposes of the large modern corporation. The two functions usually attributed to the entrepreneur--management and risk bearing--are treated as naturally separate factors within the set of contracts called a firm. The firm is disciplined by competition from other firms, which forces the evolution of devides for efficiently monitoring the performance of the entire team and of its individual members. Individual participants in the firm, and in particular its managers, face both the discipline and opportunities provided by the markets for their services, both within and outside the firm.
Опубликовано на портале: 17-03-2005Douglas W. Diamond, Philip H. Dybvig Journal of Political Economy. 1983. Vol. 91. No. 3. P. 401-419.
This paper shows that bank deposit contracts can provide allocations superior to those of exchange markets, offering an explanation of how banks subject to runs can attract deposits. Investors face privately observed risks which lead to a demand for liquidity. Traditional demand deposit contracts which provide liquidity have multiple equilibria, one of which is a bank run. Bank runs in the model cause real economic damage, rather than simply reflecting other problems. Contracts which can prevent runs are studied, and the analysis shows that there are circumstances when government provision of deposit insurance can produce superior contracts.
Опубликовано на портале: 03-10-2003Andrei Shleifer, Robert W. Vishny Journal of Political Economy. 1986. Vol. 94. No. 3. P. 461-488.
In a corporation with many small owners, it may not pay any one of them to monitor the performance of the management. We explore a model in which the presence of a large minority shareholder provides a partial solution to this free-rider problem. The model sheds light on the following questions: Under what circumstances will we observe a tender offer as opposed to a proxy fight or an internal management shake-up? How strong are the forces pushing toward increasing concentration of ownership of a diffusely held firm? Why do corporate and personal investors commonly hold stock in the same firm, despite their disparate tax preferences?
Опубликовано на портале: 11-11-2004Jack Hirshleifer Journal of Political Economy. 1958. Vol. 66. No. 4. P. 329-352.
This article is an attempt to solve (in the theoretical sense), through the use of isoquant analysis, the problem of optimal investment decisions (in business parlance, the problem of capital budgeting). The initial section reviews the principles laid down in Irving Fisher's justly famous works on interest to see what light they shed on two competing rules of behavior currently proposed by economists to guide business investment decisions - the present-value rule and the internal-rate-of return rule. The next concern of the paper is to show how Fisher's principles must be adapted when the perfect capital market assumed in his analysis does not exist - in particular, when borrowing and lending rates diverge, when capital can secured only at an increasing marginal borrowing rate, and when capital is "rationed". Section III, which presents the solution for multiperiod investments, corrects an error by Fisher which has been the source of much difficulty.
Опубликовано на портале: 22-06-2006Michael C. Jensen, Kevin J. Murphy Journal of Political Economy. 1990. Vol. 98. No. 2. P. 225-264.
Our estimates of the pay-performance relation (including pay, options, stockholdings, and dismissal) for chief executive officers indicate that CEO wealth changes $3.25 for every $1,000 change in shareholder wealth. Although the incentives generated by stock ownership are large relative to pay and dismissal incentives, most CEOs hold trivial fractions of their firm's stock, and ownership levels have declined over the past 50 years. We hypothesize that public and private political forces impose constraints that reduce the pay-performance sensitivity. Declines in both the pay-performance relation and the level of CEO pay since the 1930s are consistent with this hypothesis.
Опубликовано на портале: 16-03-2005Bengt R. Holmstrom, Jean Tirole Journal of Political Economy. 1998. Vol. 106. No. 1. P. 1-40.
This paper addresses a basic, yet unresolved, question: Do claims on private assets provide sufficient liquidity for an efficient functioning of the productive sector? Or does the state have a role in creating liquidity and regulating it either through adjustments in the stock of government securities or by other means? In our model, firms can meet future liquidity needs in three ways: by issuing new claims, by obtaining a credit line from a financial intermediary, and by holding claims on other firms. When there is no aggregate uncertainty, we show that these instruments are sufficient for implementing the socially optimal (second-best) contract between investors and firms. However, the implementation may require an intermediary to coordinate the use of scarce liquidity, in which case contracts with the intermediary impose both a maximum leverage ratio and a liquidity constraint on firms. When there is only aggregate uncertainty, the private sector cannot satisfy its own liquidity needs. The government can improve welfare by issuing bonds that commit future consumer income. Government bonds command a liquidity premium over private claims. The government should manage debt so that liquidity is loosened (the value of bonds is high) when the aggregate liquidity shock is high and is tightened when the liquidity shock is low. The paper thus suggests a rationale both for government-supplied liquidity and for its active management.
Опубликовано на портале: 04-11-2004Craig A. Burnside, Martin Stewart Eichenbaum, Sergio Rebelo Journal of Political Economy. 2001. Vol. 109. No. 6. P. 1155-1197.
This paper argues that principal cause of the 1997 Asian currency crisis was large prospective associated with implicit bailout guarantees to failing banking systems. The expectation that these future deficits would be at least partly financed by seigniorage revenues or an inflation tax on outstanding nominal debt led to a collapse of the fixed exchange rate regimes in Asia. Authors articulate this view using a simple dynamic general equilibrium model whose key feature is that a speculative attack is inevitable once the present value of future government deficits rises. While the government cannot prevent a speculative attack, it can affect its timing. The longer the delay, the higher inflation will be under the subsequent flexible exchange rate regime. We present empirical evidence in support of the four key assumptions in our interpretation of the crisis: (i) the currency crises could not have been predicted on the basis of standard macroeconomic indicators; (ii) the exchange rate crises were preceded by publicly available signs of imminent banking crises; (iii) failing financial sectors were associated with large prospective government deficits; and (iv) governments were either unwilling or unable to raise the resource required to pay for bank bailouts via fiscal reforms.
Опубликовано на портале: 11-11-2004Eugene F. Fama, James D. MacBeth Journal of Political Economy. 1973. Vol. 81. No. 3. P. 607-636.
This paper tests the relationship between average return and risk for New York Stock Exchange common stocks. The theoretical basis of the tests is the "two-parameter" portfolio model and models of market equilibrium derived from the two-parameter portfolio model. We cannot reject the hypothesis of these models that the pricing of common stocks reflects the attempts of risk-averse investors to hold portfolios that are "efficient" in terms of expected value and dispersion of return. Moreover, the observed "fair game" properties of the coefficients and residuals of the risk-return regressions are consistent with an "efficient capital market"--that is, a market where prices of securities
Опубликовано на портале: 11-08-2004Paul Anthony Samuelson Journal of Political Economy. 1964. Vol. 72. No. 6. P. 604-606.
There seems to be no published formulation and solution to the problem: How must "income" be defined if present discounted valuations of all assets, and therefore all optimization decisions, are to be independent of the tax rate each person is subject to?
The Macroeconomics of Specificity [статья]
Опубликовано на портале: 16-03-2005Ricardo J. Caballero, Mohamad L. Hammour Journal of Political Economy. 1998. Vol. 106. No. 4. P. 724-767.
Specific quasi rents arise in a variety of economic relationships and are exposed to opportunism unless fully protected by contract. Rent appropriation has important macroeconomic consequences. Resources are underutilized, factor markets are segmented, production suffers from technological "sclerosis," job creation and destruction are unbalanced, recessions are excessively sharp, and expansions run into bottlenecks. While, depending on the shock, expansions may require reinforcement or stabilization, recessions should typically be softened. In the long run, institutions may evolve to alleviate the problem by balancing appropriation. Technology choice will also be affected, with the appropriated factor partially "excluding" the other from production to reduce appropriation.
Опубликовано на портале: 11-11-2004Fisher Black, Myron Scholes Journal of Political Economy. 1973. Vol. 81. No. 3. P. 637-654.
If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this principle, a theoretical valuation formula for options is derived. Since almost all corporate liabilities can be viewed as combinations of options, the formula and the analysis that led to it are also applicable to corporate liabilities such as common stock, corporate bonds, and warrants. In particular, the formula can be used to derive the discount that should be applied to a corporate bond because of the possibility of default.