期刊-NBER美国国民经济研究局-Spring1997_1_36页_2mb

NBER Reporter Summary - Spring 1997

Core Content

The NBER Reporter for Spring 1997 highlights research from the National Bureau of Economic Research (NBER) on various topics in economics, including asset pricing, economic analysis of law, and financial markets. The report emphasizes the interaction between empirical and theoretical research, particularly in understanding investor behavior, capital market dynamics, and the implications of legal frameworks on corporate governance and financial outcomes.

Main Topics and Key Points

1. Asset Pricing

• Investor Behavior and Market Returns:

  • Investors receive high returns for holding stocks, especially value stocks (low price-to-book, price-to-earnings, or price-to-dividend ratios).
  • There is a momentum effect, where stocks that have outperformed in recent months tend to continue outperforming.
  • These patterns challenge traditional models and suggest that investor sentiment and expectations play a crucial role.

• Risk and Return:

  • The equity premium puzzle refers to the difficulty in explaining the high returns on equities using standard models.
  • Time-variation in risk premiums is explored, with evidence that financial ratios like price-to-book and yield spreads can predict returns.

• Models and Theories:

  • John Cochrane and J.Y. Campbell argue that investor risk aversion is not constant, but varies with economic conditions.
  • Nicholas Barberis, Shleifer, and Vishny propose a model where investors have irrational expectations, leading to excess returns on both value and momentum stocks.
  • Shmuel Kandel and Robert Stambaugh suggest that short-term investors may try to time the market, while long-term investors may follow different strategies.

• Volatility and Market Microstructure:

  • Yacine Ait-Sahalia and Andrew Lo develop nonparametric methods to estimate risk-adjusted probabilities from option prices.
  • David Bates argues that investors fear market crashes, not just increased volatility.
  • Torben Andersen and Tim Bollerslev highlight the complex nature of volatility and its implications for asset pricing.
  • Transaction-level data is becoming more available, enabling deeper analysis of market microstructure.

• Diversification and Risk Sharing:

  • Home bias in international investing persists, limiting diversification opportunities.
  • Robert Shiller argues that new financial markets can be created to facilitate international risk sharing.
  • The U.S. Treasury has introduced inflation-indexed bonds, offering stable real returns and appealing to conservative investors.

2. Economic Analysis of Law

• Corporate Control and Structure:

  • Research focuses on controlling shareholders and how their presence affects corporate governance.
  • J.Y. Campbell and Jesse Fried examine the efficiency of control transfers and the freezeout mechanism, where a controlling shareholder may take minority shares and offer more than their value.
  • The equal opportunity rule is proposed to prevent inefficient transfers, but may also limit efficient ones.

• Bankruptcy:

  • Howard Chang and J.Y. Campbell analyze the ex post distribution of value in corporate bankruptcy.
  • They propose an options-based method for distributing bankruptcy value that aligns with the absolute priority principle.
  • The ex ante effects of different bankruptcy rules are explored, including the impact of secured vs. unsecured claims.

• Contracts and Litigation:

  • The report outlines research on contract law, focusing on how legal rules influence economic outcomes.
  • J.Y. Campbell discusses the efficiency of legal frameworks in managing contractual relationships and litigation.

Key Information

• The NBER is a private, nonprofit research organization established in 1920, focused on quantitative analysis of the American economy.
• The Asset Pricing Program at NBER is highlighted for its empirical and theoretical contributions to understanding financial markets.
• The Research Summaries section includes insights on corporate law, bankruptcy, and contract law, showing how legal structures affect economic efficiency and market behavior.
• Inflation-indexed bonds are mentioned as a new financial market instrument that provides stable real returns.
• Market microstructure and transaction-level data are becoming important tools for analyzing financial market dynamics.
• Home bias in international investing is a persistent issue, leading to suboptimal diversification and increased risk.

Conclusion

The NBER Reporter Spring 1997 showcases the breadth and depth of research conducted by NBER economists. It highlights the interplay between finance and law, the evolution of financial markets, and the behavior of investors in the face of uncertainty and risk. The report also underscores the importance of empirical data and theoretical models in understanding and shaping financial and legal systems.