Three essays in finance and macroeconomics
Name
60769946-MIT.pdf
Description
Full printable version
Size
10.78 MB
Format
Adobe PDF
Checksum (MD5)
69227ac598770e165a09b27a56bf01b8
Author(s)
Panageas, Stavros
Advisor(s)
Ricardo J. Caballero.
Alternative Title
3 essays in finance and macroeconomics
Date Issued
2005
Publisher
Massachusetts Institute of Technology
Abstract
In the first chapter I investigate whether firms' physical investments react to the speculative over-pricing of their securities. I introduce investment considerations in an infinite horizon continuous time model with short sale constraints and heterogeneous beliefs along the lines of Scheinkman and Xiong (2003) and obtain closed form solutions for all quantities involved. I show that market based q and investment are increased, even though such investment is not warranted on the basis of long run value maximization. I use a simple episode to test the hypothesis that investment reacts to over-pricing. With publicly available data on short sales during the 1920's, I examine both the price reaction and the investment behavior of a number of companies that were introduced into the "loan crowd" during the first half of 1926. In line with Jones and Lamont (2002), I interpret this as evidence of overpricing due to speculation. I find that investment by these companies follows both the increase and the decline in "q" before and after the introduction, suggesting that companies in this sample reacted to security over-pricing. In the next chapter of the thesis (co-authored with E. Farhi) we study optimal consumption and portfolio choice in a framework where investors save for early retirement. We assume that agents can adjust their labor supply only through an irreversible choice of their retirement time. We obtain closed form solutions and analyze the joint behavior of retirement time, portfolio choice, and consumption. In the final chapter of the thesis (co-authored with R. Caballero) we turn attention to hedging of sudden stops. We observe that even well managed emerging market economies are exposed to significant external risk, the bulk of which is financial. We focus on the optimal financial policy of such an economy under different imperfections and degrees of crowding out in its hedging opportunities.
Description
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005.
"February 2005."
Includes bibliographical references (p. 246-256).
Subjects
Economics.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.
Persistent DSpace Link
