Journal of Political Economy
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Опубликовано на портале: 02-11-2007
John Y. Campbell, John H. Cochrane
Journal of Political Economy.
1999.
Vol. 107.
No. 2.
P. 205-251.
We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution


Law and Finance [статья]
Опубликовано на портале: 29-10-2008
Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer, Robert W. Vishny
Journal of Political Economy.
1998.
Vol. 106.
No. 6.
P. 1113-1155.
This paper examines legal rules covering protection of corporate shareholders and
creditors, the origin of these rules, and the quality of their enforcement in 49
countries. The results show that common-law countries generally have the strongest,
and French-civil-law countries the weakest, legal protections of investors, with
German- and Scandinavian-civil-law countries located in the middle. We also find
that concentration of ownership of shares in the largest public companies is negatively
related to investor protections, consistent with the hypothesis that small, diversified
shareholders are unlikely to be important in countries that fail to protect their
rights.


Опубликовано на портале: 03-11-2007
Marjorie Flavin
Journal of Political Economy.
1981.
Vol. 89.
No. 5.
P. 974-1009.
The paper analyzes the role of current income in providing new
information about future income and thus signaling changes in
permanent income. Using time-series analysis to quantify the revision
in permanent income induced by an innovation in the current
income process, a structural econometric model of consumption is
developed. The rejection of the joint rational expectations permanent
income hypothesis is both statistically and quantitatively
significant. The paper also shows that the test of the rational
expectations-permanent income hypothesis proposed by Hall is
based on the reduced form of this structural model and reconciles
Sargent's consumption paper with Hall's

