Financial Market Shocks and the Macroeconomy

• 成果类型: Article
• 署名作者: Subrahmanyam, Avanidhar; Titman, Sheridan
• 署名单位: University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht058
• 发表日期: 2013
• 页码: 2687
• 关键词: stock-market; long-run; liquidity; COMPETITION; feedback; prices

摘要

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 this setting the equilibrium relation among stock prices and both future dividends and aggregate output depends on the strategic environment in which these firms operate. In general, under reasonable conditions, the relations between prices, dividends, and economic output in our framework are consistent with empirical evidence in the macroliterature. We also generate new, potentially testable, implications.