American Economic Review
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Опубликовано на портале: 18-08-2004Kenneth R. French, James Michael Poterba American Economic Review. 1991. Vol. 81. No. 2. P. 222-226.
Since the fortunes of different nations do not always move together, investors can diversify their portfolios by holding assets in several countries. The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper we use a simple model of investor preferences and behavior to show that current portfolio patterns imply that investors in each nation expect returns in their domestic equity market to be several hundred basis points higher than returns in other markets. The lack of diversification appears to be result of investor choices, rather than institutional constraints.
Опубликовано на портале: 03-10-2003Annette Vissing-Jorgensen, Tobias J. Moskowitz American Economic Review. 2002. Vol. 92. No. 4. P. 745-778.
Authors document the return to investing in U.S. nonpublicly traded equity. Entrepre neurial investment is extremely concentrated,yet despite its poor diversi cation, wend that the returns to private equity are no higher than the returns to publicequity. Given the large public equity premium, it is puzzling why households wilingly invest substantialamounts in a single privately held firm with a seemingly far worse risk-return trade-of. Authors briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentialy explain investment in private equity despite these findings.
Опубликовано на портале: 03-11-2004Robert E. Hall American Economic Review. 2001. Vol. 91. No. 5. P. 1185-1202.
The value of a firm's securities measures the value of the firm's productive assets. If the assets include only capital goods and not a permanent monopoly franchise, the value of the securities measures the value of the capital. Finally, if the price of the capital can be measured or inferred, the quantity of capital is the value divided by the price. A standard model of adjustment costs enables the inference of the price of installed capital. Data from U.S. corporations over the past 50 years imply that corporations have formed large amounts of intangible capital, especially in the past decade.
Опубликовано на портале: 16-03-2005Graciela L. Kaminsky, Carmen M. Reinhart American Economic Review. 1999. Vol. 89. No. 3. P. 473-500.
In the wake of the Mexican and Asian currency turmoil, the subject of financial crises has come to the forefront of academic and policy discussions. This paper analyzes the links between banking and currency crises. We find that: problems in the banking sector typically precede a currency crisis--the currency crisis deepens the banking crisis, activating a vicious spiral; financial liberalization often precedes banking crises. The anatomy of these episodes suggests that crises occur as the economy enters a recession, following a prolonged boom in economic activity that was fueled by credit, capital inflows, and accompanied by an overvalued currency.
Опубликовано на портале: 16-03-2005Stephen Morris, Hyun Song Shin American Economic Review. 1998. Vol. 88. No. 3. P. 587-597.
Even though self-fulfilling currency attacks lead to multiple equilibria when fundamentals are common knowledge, we demonstrate the uniqueness of equilibrium when speculators face a small amount of noise in their signals about the fundamentals. This unique equilibrium depends not only on the fundamentals, but also on financial variables, such as the quantity of hot money in circulation and the costs of speculative trading. In contrast to multiple equilibrium models, our model allows analysis of policy proposals directed at curtailing currency attacks.