Eugene F. Fama, Ph.D.
The Efficient Market Hypothesists
Publication Date: 2012-12-15
Describes the lives, theories, and legacies of six great minds in finance who changed the way we look at financial markets and equilibrium. Bachelier, Samuelson, Fama, Ross, Tobin, and Shiller; proponents and critics of the market efficiency theories who redefined modern finance, creating the foundation on which all financial analysis rests.
Economists and the Stock Market
Call Number: HG 6041 .R33 2000
Publication Date: 2000-01-01
This book provides a welcome and sobering counterpoint to the increasingly popular view that stocks are the safest asset for the long run investor, by demonstrating the challenge to the dominant rational markets paradigm that is posed by behavioral and speculative theories of asset markets. Michael J. Brennan, University of California, Los Angeles, US The role of the stock market in the recent global financial crisis has led many to question the way in which the modern international financial system operates. This highly topical book offers important insights into the stock market, contrasting the speculative explanation of stock market fluctuations with the conventional efficient markets hypothesis. After summarising economists views on stock market behavior from the classical period to the present day, the authors focus on two particular explanations of stock price fluctuations. They examine in detail the mainstream neo-classical theory with its emphasis on the efficient markets hypothesis. They then compare this with the theories of Veblen, Galbraith and Keynes who consider markets as being inherently prone to speculation and crisis, in contrast to the neo-classical approach which largely ignores the instability of stock markets and particularly the crashes that have recently occurred. The authors go on to develop a speculative model to account for stock market fluctuations which provides a useful and realistic explanation of how stock price expectations are formed. This book will be welcomed by bankers, financial and monetary economists, historians of economic thought and all those interested in the causes of the recent market crashes.
Fama, E. (1972) Ordinal and Measurable Utlity. In Studies in the Theory of Capital Markets
Call Number: HG 4539 .S78
Publication Date: 1972
Fama, E. (1989) Perspectives on October 1987, or, What Did We Learn from the Crash? in R.W. Damphuis, JR., R.C. Kormendi, & J.W.H. Watson Black Monday and the Future of Financial Markets
Call Number: HG 4551 .B465 1989
Robert Shiller, Ph.D.
Reforming U. S. Financial Markets
Publication Date: 2011-01-28
Over the last few years, the financial sector has experienced its worst crisis sincethe 1930s. The collapse of major firms, the decline in asset values, the interruption of creditflows, the loss of confidence in firms and credit market instruments, the intervention bygovernments and central banks: all were extraordinary in scale and scope. In this book, leadingeconomists Randall Kroszner and Robert Shiller discuss what the United States should do to preventanother such financial meltdown. Their discussion goes beyond the nuts and bolts of legislative andregulatory fixes to consider fundamental changes in our financial arrangements. Kroszner and Shiller offer two distinctive approaches to financial reform, withKroszner providing a systematic analysis of regulatory gaps and Shiller addressing the broaderconcerns of democratizing and humanizing finance. After brief discussions by four commentatorsBenjamin M. Friedman, George G. Kaufman, Robert C. Pozen, and Hal S. Scott), Kroszner and Shillereach offer a response to the other's proposals, creating a fruitful dialogue between two majorfigures in the field.
Call Number: HB 74 .P8 A494 2009
Publication Date: 2009-01-29
The global financial crisis has made it painfully clear that powerful psychological forces are imperiling the wealth of nations today. From blind faith in ever-rising housing prices to plummeting confidence in capital markets, "animal spirits" are driving financial events worldwide. In this book, acclaimed economists George Akerlof and Robert Shiller challenge the economic wisdom that got us into this mess, and put forward a bold new vision that will transform economics and restore prosperity. Akerlof and Shiller reassert the necessity of an active government role in economic policymaking by recovering the idea of animal spirits, a term John Maynard Keynes used to describe the gloom and despondence that led to the Great Depression and the changing psychology that accompanied recovery. Like Keynes, Akerlof and Shiller know that managing these animal spirits requires the steady hand of government--simply allowing markets to work won't do it. In rebuilding the case for a more robust, behaviorally informed Keynesianism, they detail the most pervasive effects of animal spirits in contemporary economic life--such as confidence, fear, bad faith, corruption, a concern for fairness, and the stories we tell ourselves about our economic fortunes--and show how Reaganomics, Thatcherism, and the rational expectations revolution failed to account for them. Animal Spirits offers a road map for reversing the financial misfortunes besetting us today. Read it and learn how leaders can channel animal spirits--the powerful forces of human psychology that are afoot in the world economy today.
The Subprime Solution
Call Number: HG 2040.15 .S45 2008
Publication Date: 2008-08-04
The subprime mortgage crisis has already wreaked havoc on the lives of millions of people and now it threatens to derail the U.S. economy and economies around the world. In this trenchant book, best-selling economist Robert Shiller reveals the origins of this crisis and puts forward bold measures to solve it. He calls for an aggressive response--a restructuring of the institutional foundations of the financial system that will not only allow people once again to buy and sell homes with confidence, but will create the conditions for greater prosperity in America and throughout the deeply interconnected world economy. Shiller blames the subprime crisis on the irrational exuberance that drove the economy's two most recent bubbles--in stocks in the 1990s and in housing between 2000 and 2007. He shows how these bubbles led to the dangerous overextension of credit now resulting in foreclosures, bankruptcies, and write-offs, as well as a global credit crunch. To restore confidence in the markets, Shiller argues, bailouts are needed in the short run. But he insists that these bailouts must be targeted at low-income victims of subprime deals. In the longer term, the subprime solution will require leaders to revamp the financial framework by deploying an ambitious package of initiatives to inhibit the formation of bubbles and limit risks, including better financial information; simplified legal contracts and regulations; expanded markets for managing risks; home equity insurance policies; income-linked home loans; and new measures to protect consumers against hidden inflationary effects. This powerful book is essential reading for anyone who wants to understand how we got into the subprime mess--and how we can get out.
Call Number: HG 4910 .S457 2005 (paper copy + ebook)
Publication Date: 2005-02-22
This first edition of this book was a broad study, drawing on a wide range of published research and historical evidence, of the enormous stock market boom that started around 1982 and picked up incredible speed after 1995. Although it took as its specific starting point this ongoing boom, it placed it in the context of stock market booms generally, and it also made concrete suggestions regarding policy changes that should be initiated in response to this and other such booms. The book argued that the boom represents a speculative bubble, not grounded in sensible economic fundamentals. Part one of the book considered structural factors behind the boom. A list of twelve precipitating factors that appear to be its ultimate causes was given. Amplification mechanisms, naturally-occurring Ponzi processes, that enlarge the effects of these precipitating factors, were described. Part Two discussed cultural factors, the effects of the news media, and of "new era" economic thinking. Part Three discussed psychological factors, psychological anchors for the market and herd behavior. Part Four discussed attempts to rationalize exuberance: efficient markets theory and theories that investors are learning. Part Five presented policy options and actions that should be taken. The second edition, 2005, added an analysis of the real estate bubble as similar to the stock market bubble that preceded it, and warned that "Significant further rises in these markets could lead, eventually, to even more significant declines. The bad outcome could be that eventual declines would result in a substantial increase in the rate of personal bankruptcies, which could lead to a secondary string of bankruptcies of financial institutions as well. Another long-run consequence could be a decline in consumer and business confidence, and another, possibly worldwide, recession." Thus, the second edition of this book was among the first to warn of the global financial crisis that began with the subprime mortgage debacle in 2007
Call Number: HG 4910 .S457 2000
Publication Date: 2000-03-15
Was Federal Reserve Chairman Alan Greenspan right when he referred to current investor behavior as "irrational exuberance" in a 1996 speech? And even if he was wrong, how do opinions such as his contribute to the illogical swings in stock prices? Drawn from fascinating investor surveys & historical research, Irrational Exuberance provides a unique perspective, synthesizing a broad range of information into a detailed picture of the market today. Exploring all the factors, from media hype to herd behavior & even the popularity of personal-finance books, award-winning economics professor & author Robert J. Shiller makes sense of a market gone mad. Discussing parallels to the 1920?, & other booms throughout history, as well as proposals for investing a portion of Social Security funds in the market, Shiller offers policy prescriptions for the dangerously speculative U.S. economy. Written in a clear, engaging style that will appeal both to individual investors & financial professionals, Irrational Exuberance contains essential wisdom for readers from Main Street to Wall Street.
Call Number: HG 4551 .S44 1993
Publication Date: 1994-06-02
Arguing that we have largely inadequate financial markets, dealing with relatively small risks, Robert Shiller makes a unique set of proposals for marketizing the biggest economic risks faced by society today, risks that really matter to most people. The new markets could diminish the impact of international economic fluctuations and reduce the inequality of wealth. He proposes new international markets for claims on national incomes, on components and aggregates of national incomes, and for property such as real estate, and argues that these markets might dwarf our stock markets in their activity and significance. He challenges the widespread presumption that any such new market would be infeasible, by offering solutions to technical problems of measurement and settlement. There are proposals for implementing markets in perpetual claims and a substantial section on the construction of index numbers for use in settlement in the new markets.
The Irrational Economist
Call Number: HB 3730 .I77 2010
Publication Date: 2010-01-05
Of the twenty most costly catastrophes since 1970, more than half have occurred since 2001. Is this an omen of what the 21st century will be? How might we behave in this new, uncertain and more dangerous environment? Will our actions be rational or irrational?A select group of scholars, innovators, and Nobel Laureates was asked to address challenges to rational decision making both in our day-to-day life and in the face of catastrophic threats such as climate changes, natural disasters, technological hazards, and human malevolence. At the crossroads of decision sciences, behavioral and neuro-economics, psychology, management, insurance, and finance, their contributions aim to introduce readers to the latest thinking and discoveries.The Irrational Economistchallenges the conventional wisdom about how to make the right decisions in the new era we have entered. It reveals a profound revolution in thinking as understood by some of the greatest minds in our day, and underscores the growing role and impact of economists and other social scientists as they guide our most important personal and societal decisions.
The Squam Lake Report
Call Number: HB 3722 .S79 2010
Publication Date: 2010-05-25
In the fall of 2008, fifteen of the world's leading economists--representing the broadest spectrum of economic opinion--gathered at New Hampshire's Squam Lake. Their goal: the mapping of a long-term plan for financial regulation reform. The Squam Lake Report distills the wealth of insights from the ongoing collaboration that began at these meetings and provides a revelatory, unified, and coherent voice for fixing our troubled and damaged financial markets. As an alternative to the patchwork solutions and ideologically charged proposals that have dominated other discussions, the Squam Lake group sets forth a clear nonpartisan plan of action to transform the regulation of financial markets--not just for the current climate--but for generations to come. Arguing that there has been a conflict between financial institutions and society, these diverse experts present sound and transparent prescriptions to reduce this divide. They look at the critical holes in the existing regulatory framework for handling complex financial institutions, retirement savings, and credit default swaps. They offer ideas for new financial instruments designed to recapitalize banks without burdening taxpayers. To lower the risk that large banks will fail, the authors call for higher capital requirements as well as a systemic regulator who is part of the central bank. They collectively analyze where the financial system has failed, and how these weak points should be overhauled. Combining an immense depth of academic, private sector, and public policy experience, The Squam Lake Report contains urgent recommendations that will positively influence everyone's financial well-being--all who care about the world's economic health need to pay attention.
Lars Peter Hansen, Ph.D.
Call Number: HB 141 .H365 2008
Publication Date: 2007-10-29
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume II
Publication Date: 2003-01-01
Advances in Economics and Econometrics: Theory and Applications: Eight World Congress, Volume I
Publication Date: 2003-01-20
This is the third of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields, these volumes provide a unique survey of progress in the discipline.
Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume II
Publication Date: 2003
Advances in Economics and Econometrics: Theory and Applications: Eight World Congress, Volume III
Publication Date: 2003