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作者：Schwert, GW
作者单位：University of Rochester; National Bureau of Economic Research
摘要：The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation to the more seasoned issues reflected in the Standard & Poor's 500 portfolio. It also analyzes the relation of the unusual Nasdaq volatility to the hot IPO market in 1998 and 1999. The factor that seem...
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作者：Zin, SE
作者单位：Carnegie Mellon University; National Bureau of Economic Research
摘要：The recent increase in interest in so-called behavioral models of asset-pricing is motivated partly by the desire to have models that appear realistic in light of experimental evidence, and partly by their success in moment-matching exercises. This paper argues that the attention given to these two criteria misses perhaps the most important aspect of the modeling exercises. That is, the search for parameters that are invariant to changes in the economic environment. It is precisely this invari...
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作者：Wachter, JA
作者单位：New York University
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作者：Eberly, JC
作者单位：Northwestern University; National Bureau of Economic Research
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作者：Gilchrist, S; Leahy, JV
作者单位：Boston University; National Bureau of Economic Research
摘要：The first part of this paper surveys the literature on asset prices and monetary policy. We then consider the appropriate policy response to two types of shocks that are associated with how asset prices affect the economy. The first set of shocks are the ones whose primary impact lies in the future. These shocks affect the economy and asset prices through expectations of future growth. The second set are shocks to net worth which directly impact the ability of firms to borrow and for consumers...
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作者：Dai, Q
作者单位：Stanford University; New York University
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作者：Daniel, K; Hirshleifer, D; Teoh, SH
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Northwestern University
摘要：We review extensive evidence about how psychological biases affect investor behavior and prices. Systematic mispricing probably causes substantial resource misallocation. We argue that limited attention and overconfidence cause investor credulity about the strategic incentives of informed market participants., However, individuals as political participants remain subject to the biases and self-interest they exhibit in private settings. Indeed, correcting contemporaneous market pricing errors i...
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作者：Krusell, P; Kurusçu, B; Smith, AA
作者单位：University of Rochester; Center for Economic & Policy Research (CEPR); Carnegie Mellon University
摘要：We analyze a general-equilibrium asset pricing model where a small subset of the consumers/investors have a short-run urge to save. That is, their attitude toward consumption in the long run is a standard one - they do place zero weight on consumption far enough out in the future - but their short-run effective rates of discount may be negative. Our model, which is an elaboration on the framework proposed by Faruk Gul and Wolfgang Pesendorfer, does not feature time inconsistencies. Thus, we vi...
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作者：Dupor, B
作者单位：University of Pennsylvania
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作者：Hollifield, B
作者单位：Carnegie Mellon University
