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Social Discounting with Diminishing Returns on Investment 投资收益递减的社会贴现
Macroeconomics eJournal Pub Date : 2017-01-16 DOI: 10.2139/ssrn.1078502
Marc H. Vatter
{"title":"Social Discounting with Diminishing Returns on Investment","authors":"Marc H. Vatter","doi":"10.2139/ssrn.1078502","DOIUrl":"https://doi.org/10.2139/ssrn.1078502","url":null,"abstract":"I estimate the social discount rate allowing returns on investment to differ from returns on wealth. The rate of return on investment is below that on wealth, and both are declining. U.S. data imply pure time preference of 1% and relative risk aversion of 3, which I use to project returns going forward. The analysis suggests a descriptive social discount rate of 7.1%, and a prescriptive rate of 6.1%. Zero pure time preference implies only a modest increase in investment over historical and projected rates.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125611566","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach 卖空约束与特殊波动之谜:一个事件研究方法
Macroeconomics eJournal Pub Date : 2014-02-25 DOI: 10.2139/ssrn.1016112
Danling Jiang, David R. Peterson, James S. Doran
{"title":"Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach","authors":"Danling Jiang, David R. Peterson, James S. Doran","doi":"10.2139/ssrn.1016112","DOIUrl":"https://doi.org/10.2139/ssrn.1016112","url":null,"abstract":"Using three natural experiments, we test the hypothesis that investor overconfidence produces overpricing of high idiosyncratic volatility stocks in the presence of binding short-sale constraints. We study three events: IPO lockup expirations, option introductions, and the 2008 short-sale ban on financial firms. Consistent with our prediction, we show that when short-sale constraints are relaxed, event stocks with high idiosyncratic volatility tend to experience greater price reductions, as well as larger increases in trading volume and short interest, than those with low idiosyncratic volatility. These results hold when we benchmark event stocks with non-event stocks with comparable idiosyncratic volatility. Overall, our findings suggest that biased investor beliefs and binding short-sale constraints contribute to idiosyncratic volatility overpricing.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122007248","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
Ejemplos de burbujas: Telepizza y otras 6 empresas (Telepizza and Boston Chicken: Examples of Value Destruction) ejemployees de burbujas: teleppizza和Boston Chicken:价值破坏的例子
Macroeconomics eJournal Pub Date : 2013-04-27 DOI: 10.2139/SSRN.951174
Pablo Fernández
{"title":"Ejemplos de burbujas: Telepizza y otras 6 empresas (Telepizza and Boston Chicken: Examples of Value Destruction)","authors":"Pablo Fernández","doi":"10.2139/SSRN.951174","DOIUrl":"https://doi.org/10.2139/SSRN.951174","url":null,"abstract":"Spanish Abstract: Se presentan 7 ejemplos reales de empresas que tuvieron un aumento vertiginoso de la cotizacion, seguido de un descenso tambien vertiginoso. El analisis de las causas a las que se debio el aumento y el descenso posterior de las cotizaciones ayuda a comprender las burbujas. En todos los casos las acciones llegaron a estar sobrevaloradas. Levitz, Home Shopping Network, MCI, Telepizza y Boston Chicken son claros ejemplos de exagerado optimismo sobre la magnitud y el crecimiento de los flujos futuros de las empresas. OM Scott es un claro ejemplo de mala comunicacion con el mercado. LTCM (Long Term Capital Management) es un ejemplo de riesgo no percibido por el mercado (y de deficiente control de riesgos de la empresa). English Abstract: Between December 1996 and October 1998, the value destroyed by Boston Chicken for its shareholders amounted to 3,293 million euros (a return of -100%). During the same period, the stock market yield (S&P500) was 54%. Between June 1998 and October 1999, the value destroyed by TelePizza for its shareholders amounted to 1,543 million euros (a return of -55%). During the same period, the stock market yield (IBEX 35) was -7%. It is very interesting to compare and try to differentiate what happened to these two companies. We also urge the reader to analyze the history of companies such as Levitz, Home Shopping Network, OM Scott, MCI, and LTCM.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"134 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134250446","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Individual and Aggregate Money Demands 个人和总货币需求
Macroeconomics eJournal Pub Date : 2011-07-01 DOI: 10.2139/ssrn.997223
Andre C. Silva
{"title":"Individual and Aggregate Money Demands","authors":"Andre C. Silva","doi":"10.2139/ssrn.997223","DOIUrl":"https://doi.org/10.2139/ssrn.997223","url":null,"abstract":"I construct a model in which money and bond holdings are consistent with individual decisions and aggregate variables such as production and interest rates. The agents are infinitely-lived, have constant-elasticity preferences, and receive a fraction of their income in money. Each agent solves a Baumol-Tobin money management problem. Markets are segmented because financial frictions make agents trade bonds for money at different times. Trading frequency, consumption, government decisions and prices are mutually consistent. An increase in inflation, for example, implies higher trading frequency, more bonds sold to account for seigniorage, and lower real balances.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121987428","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Incentives in Competitive Search Equilibrium 竞争搜索均衡中的激励
Macroeconomics eJournal Pub Date : 2011-04-01 DOI: 10.2139/ssrn.1013296
Espen R. Moen, Åsa Rosén
{"title":"Incentives in Competitive Search Equilibrium","authors":"Espen R. Moen, Åsa Rosén","doi":"10.2139/ssrn.1013296","DOIUrl":"https://doi.org/10.2139/ssrn.1013296","url":null,"abstract":"This paper analyses the interaction between internal agency problems within firms and external search frictions when workers have private information. We show that the allocation of resources is determined by a modified Hosios Rule. We then analyze the effect of changes in the macro economic variables on the wage contract and the unemployment rate. We find that private information may increase the responsiveness of the unemployment rate to changes in productivity. The incentive power of the wage contracts is positively related to high productivity, low unemployment benefits and high search frictions.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"54 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123551736","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 70
The Big Mac Index Two Decades on: An Evaluation of Burgernomics 巨无霸指数二十年来:汉堡经济学的评估
Macroeconomics eJournal Pub Date : 2010-07-09 DOI: 10.2139/ssrn.1081843
K. Clements, Yihui Lan, Shi Pei Seah
{"title":"The Big Mac Index Two Decades on: An Evaluation of Burgernomics","authors":"K. Clements, Yihui Lan, Shi Pei Seah","doi":"10.2139/ssrn.1081843","DOIUrl":"https://doi.org/10.2139/ssrn.1081843","url":null,"abstract":"The Big Mac Index, introduced by The Economist magazine more than two decades ago, claims to provide the “true value” of a large number of currencies. This paper assesses the economic value of this index. We show that (i) the index suffers from a substantial bias; (ii) once the bias is allowed for, the index tracks exchange rates reasonably well over the medium to longer term in accordance with relative purchasing power parity theory; (iii) the index is at least as good as the industry standard, the random walk model, in predicting future currency values for all but shortterm horizons; and (iv) future nominal exchange rates are more responsive than prices to currency mispricing. While not perfect, at a cost of less than $US10 per year, the index seems to provide good value for money.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131448107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 33
Explicit Evidence on an Implicit Contract 隐性契约的显性证据
Macroeconomics eJournal Pub Date : 2010-06-21 DOI: 10.2139/ssrn.739984
A. Young, Daniel Levy
{"title":"Explicit Evidence on an Implicit Contract","authors":"A. Young, Daniel Levy","doi":"10.2139/ssrn.739984","DOIUrl":"https://doi.org/10.2139/ssrn.739984","url":null,"abstract":"We offer the first direct evidence of an implicit contract in a goods market. The evidence we offer comes from the market for Coca-Cola. We demonstrate that the Coca-Cola Company left a substantial amount of written evidence of its implicit contract with its consumers—a very explicit form of an implicit contract. The contract represented the promise of a five cent (nominal) price and adherence to the “Secret Formula”. In general, the implicit nature of such contracts makes observation difficult. To overcome this difficulty, we adopt a narrative approach. Based on the analysis of a large number of historical documents obtained from the Coca-Cola Archives and other sources, we offer evidence of the Coca-Cola Company both acknowledging and acting on this implicit contract. We also make another unique contribution by exploring quality as a margin of adjustment available to Coca-Cola. The implicit contract included a promise not only of a constant nominal price but also a constant quality (i.e., 6.5 oz. of the Secret Formula). During a period of over 70 years, we find evidence of only a single case of true quality change. By studying the margin of adjustment the Coca-Cola Company chose in response to changes in market conditions, we demonstrate that the perceived costs of breaking the implicit contract were large. We argue that one piece of direct evidence on the magnitude of these costs is the aftermath “New Coke’s” introduction in 1985.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124506841","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 40
National Labour Markets, International Factor Mobility and Macroeconomic Instability 国家劳动力市场、国际要素流动和宏观经济不稳定
Macroeconomics eJournal Pub Date : 2010-06-01 DOI: 10.2139/ssrn.952269
Marta Aloi, Teresa Lloyd-Braga
{"title":"National Labour Markets, International Factor Mobility and Macroeconomic Instability","authors":"Marta Aloi, Teresa Lloyd-Braga","doi":"10.2139/ssrn.952269","DOIUrl":"https://doi.org/10.2139/ssrn.952269","url":null,"abstract":"We analyze how global economic integration of factor markets affects the stability of the macroeconomy, with respect to expectations-driven fluctuations, when countries differ in their labor market institutions. It is shown that, due to the occurrence of equilibrium indeterminacy, liberalization of capital movements is likely to be accompanied by persistent fluctuations at the world level, while allowing also for labor movements may bring macroeconomic stability. Whether this also implies higher welfare in the long run depends on differentials in average firm size across countries. If the average firm size in a country operating under perfect competition and full employment is small relative to a country with rigid wages and unemployment, then free migration reduces unemployment, narrows wage differentials and expands world output.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126668518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Production versus Transportation Technologies: Theory and Evidence 生产与运输技术:理论与证据
Macroeconomics eJournal Pub Date : 2010-04-01 DOI: 10.2139/ssrn.995540
H. Yilmazkuday
{"title":"Production versus Transportation Technologies: Theory and Evidence","authors":"H. Yilmazkuday","doi":"10.2139/ssrn.995540","DOIUrl":"https://doi.org/10.2139/ssrn.995540","url":null,"abstract":"The impacts of production and transportation technology changes are studied in a general-equilibrium trade model with an analytical solution where agents in each location produce different varieties of a common set of goods. Wages are equalized in nominal terms across locations, with differences in purchasing power offset by agents' preferences for particular locations in the initial steady-state. Instead of assuming iceberg costs, a transportation sector is modeled to allow an efficient distribution of workers across the production and transportation sectors. The counterfactuals have current and historical implications on the national, regional, and industrial variables of the U.S. economy.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125193316","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Real & Nominal Foreign Exchange Volatility Effects on Exports - The Importance of Timing 实际和名义外汇波动对出口的影响——时机的重要性
Macroeconomics eJournal Pub Date : 2009-11-19 DOI: 10.2139/ssrn.998452
J. Cotter, Don Bredin
{"title":"Real & Nominal Foreign Exchange Volatility Effects on Exports - The Importance of Timing","authors":"J. Cotter, Don Bredin","doi":"10.2139/ssrn.998452","DOIUrl":"https://doi.org/10.2139/ssrn.998452","url":null,"abstract":"This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary according to the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115582853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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