Learning from Stock Prices and Economic Growth

• 成果类型: Article
• 署名作者: Peress, Joel
• 署名单位: INSEAD Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu021
• 发表日期: 2014
• 页码: 2998
• 关键词: information acquisition; financial development; MARKET-EFFICIENCY; individual stocks; overconfidence; PRODUCTIVITY; equilibrium; performance; COMPETITION; INVESTMENT

摘要

A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation, and income. The stock market allows investors to share their costly private signals in a cost-effective incentive-compatible way. It contributes to economic growth by raising total factor productivity (TFP). A calibration indicates the effect on TFP to be large but that on income to be modest. Several predictions on the evolution of real and financial variables are derived. Finally, the growth impact of two common forms of investor irrationality, overconfidence and inattention, are analyzed.