Sentiments, financial markets, and macroeconomic fluctuations

Journal of Financial Economics - Tập 120 - Trang 420-443 - 2016
Jess Benhabib1, Xuewen Liu2, Pengfei Wang3
1Department of Economics, New York University, USA
2Department of Finance, Hong Kong University of Science and Technology, Hong Kong
3Department of Economics, Hong Kong University of Science and Technology, Hong Kong

Tài liệu tham khảo

Albagli, E., Hellwig, C., Tsyvinski, A. (2013). A theory of asset pricing based on heterogeneous information. Unpublished working paper. Albagli, E., Hellwig, C., Tsyvinski, A. (2014). Risk-taking, rent-seeking, and investment when financial markets are noisy. Unpublished working paper. Allen, 1992, Stock-price manipulation, Review of Financial Studies, 5, 503, 10.1093/rfs/5.3.503 Allen, 2006, Beauty contests and iterated expectations in asset markets, Review of Financial Studies, 19, 719, 10.1093/rfs/hhj036 Ang, 2002, Asymmetric correlations of equity portfolios, Journal of Financial Economics, 63, 443, 10.1016/S0304-405X(02)00068-5 Angeletos, G.-M., Collard, F., Dellas, H. (2014). Quantifying confidence. Unpublished working paper. Angeletos, 2013, Sentiments, Econometrica, 81, 739, 10.3982/ECTA10008 Angeletos, G.-M., Lorenzoni, G., Pavan, A. (2010). Beauty contests and irrational exuberance: a neoclassical approach. Unpublished working paper. Aumann, 1987, Correlated equilibrium as an expression of bayesian rationality, Econometrica, 55, 1, 10.2307/1911154 Aumann, 1989, vol. 89 Bacchetta, P., van Wincoop, E. (2013). The great recession: a self-fulfilling global panic. Unpublished working paper. Baker, 2006, Investor sentiment and the cross-section of stock returns, Journal of Finance,, 61, 1645, 10.1111/j.1540-6261.2006.00885.x Baker, 2007, Investor sentiment in the stock market, The Journal of Economic Perspectives, 21, 129, 10.1257/jep.21.2.129 Bakke, 2010, Which firms follow the market? An analysis of corporate investment decisions, Review of Financial Studies, 23, 1941, 10.1093/rfs/hhp115 Barlevy, 2003, Rational panics and stock market crashes, Journal of Economic Theory, 110, 234, 10.1016/S0022-0531(03)00039-5 Beaudry, 2006, Stock prices, news, and economic fluctuations, American Economic Review, 96, 1293, 10.1257/aer.96.4.1293 Benhabib, J., Liu, X., Wang, P. (2014). Sentiments, financial markets, and macroeconomic fluctuations. Available at SSRN: http://ssrn.com/abstract=2562067. Benhabib, 2015, Private information and sunspots in sequential asset markets, Journal of Economic Theory, 158, 558, 10.1016/j.jet.2014.12.003 Benhabib, J., Wang, P., Wen, Y. (2013). Uncertainty and sentiment-driven equilibria. NBER working paper w18878. Benhabib, 2015, Sentiments and aggregate demand fluctuations, Econometrica, 83, 549, 10.3982/ECTA11085 Bergemann, D., Morris, S. (2011). Correlated equilibrium in games with incomplete information. Unpublished working paper. Bernanke, 1989, Agency costs, net worth, and business fluctuations, American Economic Review, 79, 14 Bleck, 2007, Market transparency and the accounting regime, Journal of Accounting Research, 45, 229, 10.1111/j.1475-679X.2007.00231.x Bond, 2012, The real effects of financial markets, Annual Review of Financial Economics, 4, 339, 10.1146/annurev-financial-110311-101826 Bond, 2010, Market-based corrective actions, Review of Financial Studies, 23, 781, 10.1093/rfs/hhp059 Brunnermeier, 2013, Macroeconomics with financial frictions: a survey Chen, 2007, Price informativeness and investment sensitivity to stock price, Review of Financial Studies, 20, 619, 10.1093/rfs/hhl024 Chudik, A., Fratzscher, M. (2012). Liquidity, risk and the global transmission of the 2007–08 financial crisis and the 2010–2011 sovereign debt crisis. Unpublished working paper. Connolly, 2003, International equity market comovements: economic fundamentals or contagion?, Pacific-Basin Finance Journal, 11, 23, 10.1016/S0927-538X(02)00060-4 Cutler, 1989, What moves stock prices?, The Journal of Portfolio Management, 15, 4, 10.3905/jpm.1989.409212 De Bondt, 1987, Further evidence on investor overreaction and stock market seasonality, The Journal of Finance, 42, 557, 10.1111/j.1540-6261.1987.tb04569.x Dow, 1997, Stock market efficiency and economic efficiency: is there a connection?, The Journal of Finance, 52, 1087, 10.1111/j.1540-6261.1997.tb02726.x Fama, 2002, The equity premium, The Journal of Finance, 57, 637, 10.1111/1540-6261.00437 Fishman, 1992, Insider trading and the efficiency of stock prices, The RAND Journal of Economics, 23, 106, 10.2307/2555435 Foucault, 2014, Learning from peers’ stock prices and corporate investment, Journal of Financial Economics, 111, 554, 10.1016/j.jfineco.2013.11.006 Foucault, 2008, Stock price informativeness, cross-listings, and investment decisions, Journal of Financial Economics, 88, 146, 10.1016/j.jfineco.2007.05.007 Fox, 2003, Law, share price accuracy, and economic performance: the new evidence, Michigan Law Review, 102, 331, 10.2307/3595365 Gaballo, G. (2013). Price dispersion and private uncertainty. Unpublished working paper. Goldstein, 2008, Manipulation and the allocational role of prices, The Review of Economic Studies, 75, 133, 10.1111/j.1467-937X.2007.00467.x Goldstein, 2011, Learning and complementarities in speculative attacks, The Review of Economic Studies, 78, 263, 10.1093/restud/rdq017 Goldstein, 2013, Trading frenzies and their impact on real investment, Journal of Financial Economics, 109, 566, 10.1016/j.jfineco.2013.03.011 Goldstein, I., Yang, L. (2013). Good disclosure, bad disclosure. Unpublished working paper. Grossman, 1980, On the impossibility of informationally efficient markets, The American Economic Review, 70, 393 Hayek, 1945, The use of knowledge in society, American Economic Review, 35, 519 Hellwig, 2009, Knowing what others know: coordination motives in information acquisition, The Review of Economic Studies, 76, 223, 10.1111/j.1467-937X.2008.00515.x Hirshleifer, 2001, Investor psychology and asset pricing, Journal of Finance, 56, 1533, 10.1111/0022-1082.00379 Hirshleifer, 2003, Good day sunshine: stock returns and the weather, Journal of Finance, 58, 1009, 10.1111/1540-6261.00556 Hirshleifer, 2006, Feedback and the success of irrational investors, Journal of Financial Economics, 81, 311, 10.1016/j.jfineco.2005.05.006 Holmstrom, 1997, Financial intermediation, loanable funds, and the real sector, The Quarterly Journal of Economics, 112, 663, 10.1162/003355397555316 Huang, S., Zeng, Y. (2014). Investment exuberance under cross learning. Unpublished working paper. Jin, 2006, R2 around the world: new theory and new tests, Journal of Financial Economics, 79, 257, 10.1016/j.jfineco.2004.11.003 Kamstra, 2003, Winter blues: a sad stock market cycle, American Economic Review, 93, 324, 10.1257/000282803321455322 Karolyi, 1996, Why do markets move together? An investigation of U.S.–Japan stock return co-movements, The Journal of Finance, 51, 951, 10.1111/j.1540-6261.1996.tb02713.x King, 1990, Transmission of volatility between stock markets, Review of Financial Studies, 3, 5, 10.1093/rfs/3.1.5 Kiyotaki, 1997, Credit cycles, The Journal of Political Economy, 105, 211, 10.1086/262072 Kurlat, 2015, Should we regulate financial information?, Journal of Economic Theory, 158, 697, 10.1016/j.jet.2015.02.005 Lamont, 2006, Investor sentiment and corporate finance: micro and macro, American Economic Review, 96, 147, 10.1257/000282806777212143 Leland, 1992, Insider trading: should it be prohibited?, Journal of Political Economy, 100, 859, 10.1086/261843 Lettau, 2008, The declining equity premium: what role does macroeconomic risk play?, Review of Financial Studies, 21, 1653, 10.1093/rfs/hhm020 Levchenko, A., Pandalai-Nayar, N. (2015). TFP, news, and ‘sentiments’: the international transmission of business cycles. Unpublished working paper. Levine, 2005, Finance and growth: theory and evidence, Handbook of Economic Growth, 1, 865, 10.1016/S1574-0684(05)01012-9 Luo, 2005, Do insiders learn from outsiders? Evidence from mergers and acquisitions, The Journal of Finance, 60, 1951, 10.1111/j.1540-6261.2005.00784.x Maskin, 1987, Correlated equilibria and sunspots, Journal of Economic Theory, 43, 364, 10.1016/0022-0531(87)90067-6 Morris, 2002, Social value of public information, The American Economic Review, 92, 1521, 10.1257/000282802762024610 Ozdenoren, 2008, Feedback effects and asset prices, The Journal of Finance, 63, 1939, 10.1111/j.1540-6261.2008.01378.x Peck, 2014, A battle of informed traders and the market game foundations for rational expectations equilibrium, Games and Economic Behavior, 88, 153, 10.1016/j.geb.2014.09.004 Peck, 1991, Market uncertainty: correlated and sunspot equilibria in imperfectly competitive economies, The Review of Economic Studies, 58, 1011, 10.2307/2297949 Perri, F., Quadrini, V. (2013). International recessions. Unpublished working paper. Salomons, 2003, The equity risk premium: emerging vs. developed markets, Emerging Markets Review, 4, 121, 10.1016/S1566-0141(03)00024-4 Saunders, 1993, Stock prices and wall street weather, The American Economic Review, 83, 1337 Sockin, 2015, Informational frictions and commodity markets, The Journal of Finance, 70, 2063, 10.1111/jofi.12261 Subrahmanyam, 1999, The going-public decision and the development of financial markets, Journal of Finance, 54, 1045, 10.1111/0022-1082.00136 Subrahmanyam, 2013, Financial market shocks and the macroeconomy, Review of Financial Studies, 26, 2687, 10.1093/rfs/hht058 Vives, 2014, On the possibility of informationally efficient markets, Journal of the European Economic Association, 12, 1200, 10.1111/jeea.12107 Wen, 2002, The business cycle effects of christmas, Journal of Monetary Economics, 49, 1289, 10.1016/S0304-3932(02)00150-2 Yuan, 2005, Asymmetric price movements and borrowing constraints: a rational expectations equilibrium model of crises, contagion, and confusion, The Journal of Finance, 60, 379, 10.1111/j.1540-6261.2005.00733.x