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The Stock Market and Capital Accumulation
Hall, Robert E. - 1999
If firms purchase capital up to the point where there is no further marginal benefit, and the firms' securities are equal in value to the capital, then the market value of securities measures the quantity of capital. I explore the implications of this hypothesis using data from U.S. non-farm,...
Persistent link: https://www.econbiz.de/10012471608
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Equilibrium Asset Prices Under Imperfect Corporate Control
Dow, James - 2003
version of the separation of ownership and control -- Jensen's (1986) free cash flow theory--into a dynamic equilibrium model … and study the effect of imperfect corporate control on asset prices and investment. We assume that firms are run by empire … aggregate free cash flow of the corporate sector is an important state variable in explaining asset prices and investment. We …
Persistent link: https://www.econbiz.de/10012468940
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The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security
Abel, Andrew B. - 2002
convex cost of adjustment. A baby boom increases national saving and investment and thus causes an increase in the price of …. Social Security can potentially affect national saving and investment, though in the long run, it does not affect the price …
Persistent link: https://www.econbiz.de/10012469499
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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In...
Persistent link: https://www.econbiz.de/10012459278
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The Social Cost of Near-Rational Investment
Hassan, Tarek A. - 2011
We show that the stock market may fail to aggregate information even if it appears to be efficient, and that the resulting decrease in the information content of prices may drastically reduce welfare. We solve a macroeconomic model in which information about fundamentals is dispersed and...
Persistent link: https://www.econbiz.de/10012461631
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A Cross-Sectional Test of a Production-Based Asset Pricing Model
Cochrane, John H. - 1992
This paper tests a factor pricing model for stock returns. The factors are returns on physical investment, inferred … from investment data via a production function. The tests examine the model's ability to explain the variation in expected … returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll and …
Persistent link: https://www.econbiz.de/10012474955
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Robust-H-infinity Forecasting and Asset Pricing Anomalies
Tornell, Aaron - 2000
We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...
Persistent link: https://www.econbiz.de/10012470997
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Conditioning Variables and the Cross-Section of Stock Returns
Ferson, Wayne E. - 1999
Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are...
Persistent link: https://www.econbiz.de/10012471791
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Asset Prices, Substitution Effects, and the Impact of Changes in Asset Stocks
Walsh, Carl E. - 1980
The standard result in macroeconomic models is that an increase in the stock of government debt has an ambiguous effect on aggregate demand. Models which have derived this result have assumed that all assets are gross substitutes. Some recent work within the framework of mean-variance portfolio...
Persistent link: https://www.econbiz.de/10012478567
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Asset Prices and Unemployment Fluctuations
Kehoe, Patrick J. - 2019
reproduces the observed fluctuations in unemployment because hiring a worker is a risky investment with long-duration surplus …
Persistent link: https://www.econbiz.de/10012480524