Showing 1 - 10 of 29
A large body of recent research argues that social, or non-market, interactions can explain a wide range of puzzling phenomena from fashion cycles to stock market crashes. This paper attempts to connect the range of these papers with a general model and a broad empirical overview. We establish...
Persistent link: https://www.econbiz.de/10014139635
We propose a continuous-time model of trading among risk-neutral agents with heterogeneous beliefs. Agents face quadratic costs-of-carry on their positions and as a consequence, their marginal valuation of the asset decreases when the magnitude of their position increases, as it would be the...
Persistent link: https://www.econbiz.de/10012948441
In many countries, the operation of legal, political and regulatory institutions is subverted by the wealthy and the politically powerful for their own benefit. This subversion takes the form of corruption, intimidation, and other forms of influence. We present a model of such institutional...
Persistent link: https://www.econbiz.de/10013220922
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method...
Persistent link: https://www.econbiz.de/10013227018
Recent theories of economic growth, including Romer (1986), Porter (1989) and Jacobs (1969), have stressed the role of technological spillovers in generating growth. Because such knowledge spillovers are particularly effective in cities, where communication between people is more extensive, data...
Persistent link: https://www.econbiz.de/10013229039
The high degree of variance of crime rates across space (and across time) is one of the oldest puzzles in the social sciences (see Quetelet (1835)). Our empirical work strongly suggests that this variance is not the result of observed or unobserved geographic attributes. This paper presents a...
Persistent link: https://www.econbiz.de/10013236807
An influential thesis, dubbed "Doing well by doing good," argues that corporate social responsibility is profitable. But heterogeneity in firm financial constraints can induce a spurious correlation between profits and goodness even if the motives for goodness are non-profit in nature. We use...
Persistent link: https://www.econbiz.de/10013099127
We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are...
Persistent link: https://www.econbiz.de/10013154476
Asset prices contain information about the probability distribution of future states and the stochastic discounting of these states. Without additional assumptions, probabilities and stochastic discounting cannot be separately identified. Ross (2013) introduced a set of assumptions that restrict...
Persistent link: https://www.econbiz.de/10013052507
We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse response functions measure the importance of next-period shocks for future values of a time series. Shock elasticities measure the contributions to the price and to the expected...
Persistent link: https://www.econbiz.de/10013054043