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Scheinkman, José Alexandre

Works: 71 works in 192 publications in 1 language and 1,690 library holdings
Genres: History 
Roles: Author, Editor
Classifications: HB1, 330.0151
Publication Timeline
Publications about José Alexandre Scheinkman
Publications by José Alexandre Scheinkman
Most widely held works by José Alexandre Scheinkman
General equilibrium, growth, and trade : essays in honor of Lionel McKenzie ( Book )
8 editions published in 1979 in English and held by 330 libraries worldwide
Speculation, trading, and bubbles by José Alexandre Scheinkman( Book )
7 editions published in 2014 in English and held by 207 libraries worldwide
The history of financial markets is full of moments in which asset prices inflate far beyond their intrinsic value. These events are commonly called bubbles, and in this book, José A. Scheinkman and other top economists offer new explanations for this phenomenon. Scheinkman discusses some stylized facts concerning bubbles, such as high trading volume and the coincidence between bubbles' implosion and increases in supply, and he develops a model for bubbles based on differences in beliefs among investors that explains these observations. Sandy Grossman and Patrick Bolton offer commentarie
Neither a borrower nor a lender be : an economic analysis of interest restrictions and usury laws by Edward L Glaeser( Book )
7 editions published in 1994 in English and held by 81 libraries worldwide
Abstract: Interest rate restrictions are among the most pervasive forms of economic regulations. This paper explains that these restrictions can be explained as a means of primitive social insurance. Interest rate limits are Pareto improving because agents borrow when they have temporary negative income shocks -- interest rate restrictions transfer wealth to agents who have received those negative shocks and whose marginal utility of income is high. We assume that these shocks are not otherwise insurable because of problems related to asymmetric information or the difficulties inherent in writing complex contracts. The model predicts that interest rate restriction will be tighter when income inequality is high (and impermanent) and when growth rates are low. Data from U.S. states' regulations supports a connection between inequality and usury laws. The history of usury laws suggests that this social insurance mechanism is one reason why usury laws persist, but it also suggests that usury laws have had different functions across time (eg. rent-seeking, limiting agency problems within the church, limiting overcommitment of debts, and attacking commerce generally)
Crime and social interactions by Edward L Glaeser( Book )
7 editions published in 1995 in English and held by 79 libraries worldwide
Abstract: The high degree of variance of crime rates across space (and across time) is one of the oldest puzzles in the social sciences (see Quetelet (1835)). Our empirical work strongly suggests that this variance is not the result of observed or unobserved geographic attributes. This paper presents a model where social interactions create enough covariance across individuals to explain the high cross- city variance of crime rates. This model provides a natural index of social interactions which can compare the degree of social interaction across crimes, across geographic 1units and across time. Our index gives similar results for different data samples and suggests that the amount of social interactions are highest in petty crimes (such as larceny and auto theft), moderate in more serious crimes (assault, burglary and robbery) and almost negligible in murder and rape. The index of social interactions is also applied to non-criminal choices and we find that there is substantial interaction in schooling choice
The social multiplier by Edward L Glaeser( Book )
7 editions published in 2002 in English and held by 72 libraries worldwide
In many cases, aggregate data is used to make inferences about individual level behavior. If there are social interactions in which one person's actions influence his neighbor's incentives or information, then these inferences are inappropriate. The presence of positive social interactions, or strategic complementarities, implies the existence of a social multiplier where aggregate relationships will overstate individual elasticities. We present a brief model and then estimate the size of the social multiplier in three areas: the impact of education on wages, the impact of demographics on crime and group membership among Dartmouth roommates. In all three areas there appears to be a significant social multiplier
Economic growth in a cross-section of cities by Edward L Glaeser( Book )
8 editions published between 1993 and 1995 in English and held by 72 libraries worldwide
Abstract: We examine the relationship between urban characteristics in 1960 and urban growth (income and population) between 1960 and 1990. Our major findings are that income and population growth move together and both types of growth are (1) positively related to initial schooling, (2) negatively related to initial unemployment and (3) negatively related to the share of employment initially in manufacturing. These results are qualitatively unchanged if we examine cities (a smaller political unit) or SMSAs (a larger 'economic' unit). We also find that racial composition and segregation are basically uncorrelated with urban growth across all cities, but that in communities with large nonwhite communities segregation is positively correlated with white population growth. Government expenditures (except for sanitation) are uncorrelated with urban growth. Government debt is positively correlated with later growth
The injustice of inequality by Edward L Glaeser( Book )
9 editions published in 2002 in English and held by 71 libraries worldwide
In many countries, the operation of legal, political and regulatory institutions is subverted by the wealthy and the politically powerful for their own benefit. This subversion takes the form of corruption, intimidation, and other forms of influence. We present a model of such institutional subversion - focusing specifically on courts - and of the effects of inequality in economic and political resources on the magnitude of subversion. We then use the model to analyze the consequences of institutional subversion for the law and order environment in the country, as well as for capital accumulation and growth. We illustrate the model with historical evidence from Gilded Age United States and the transition economies of the 1990s. We also present some cross-country evidence consistent with the basic prediction of the model
Non-market interactions by Edward L Glaeser( Book )
12 editions published between 2000 and 2001 in English and held by 69 libraries worldwide
Abstract: A large body of recent research argues that social, or non-market, interactions can explain a wide range of puzzling phenomena from fashion cycles to stock market crashes. This paper attempts to connect the range of these papers with a general model and a broad empirical overview. We establish conditions for existence and uniqueness of equilibria in social interactions models. The existence of multiple equilibria requires sufficient non-linearity in social interactions and only moderate heterogeneity across agents strategic complementarities are neither necesssary nor sufficient for multiple equilibria. We establish conditions for the existence of a social multiplier, which is the ratio of the aggregate outcome-input relationship to the individual outcome-input relationship. Models with multiple equilibria are empirically indistinguishable from models with significant social multipliers. Finally, we show the formal relationship between three known methods of empirically estimating social interactions, and suggests the plusses and minuses of these three approaches
Executive compensation and short-termist behavior in speculative markets by Patrick Bolton( Book )
8 editions published in 2003 in English and held by 66 libraries worldwide
We present a multiperiod agency model of stock based executive compensation in a speculative stock market, where investors are overconfident and stock prices may deviate from underlying fundamentals and include a speculative option component. This component arises from the option to sell the stock in the future to potentially overoptimistic investors. We show that optimal compensation contracts may emphasize short-term stock performance, at the expense of long run fundamental value, as an incentive to induce managers to pursue actions which increase the speculative component in the stock price. Our model provides a different perspective for the recent corporate crisis than the increasingly popular rent extraction view' of executive compensation
Asset float and speculative bubbles by Harrison G Hong( Book )
7 editions published in 2005 in English and held by 59 libraries worldwide
"We model the relationship between asset float (tradeable shares) and speculative bubbles. Investors trade a stock with limited float because of insider lock-ups. They have heterogeneous beliefs due to overconfidence and face short-sales constraints. A bubble arises as price overweighs optimists' beliefs and investors anticipate the option to resell to those with even higher valuations. The bubble's size depends on float as investors anticipate an increase in float with lock-up expirations and speculate over the degree of insider selling. Consistent with the internet experience, the bubble, turnover and volatility decrease with float and prices drop on the lock-up expiration date"--National Bureau of Economic Research web site
Speculative trading and stock prices evidence from Chinese A-B share premia by Jianping Mei( file )
7 editions published in 2005 in English and held by 58 libraries worldwide
"The market dynamics of technology stocks in the late nineties has stimulated a growing body of theories that analyze the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines implications of these theories using a unique data sample from China, a market with stringent short-sales constraints and perfectly segmented dual-class shares. The identical rights of the dual-class shares allow us to control for stock fundamentals. We find that trading caused by investors' speculative motive can help explain a significant fraction of the price difference between the dual-class shares"--National Bureau of Economic Research web site
Cattle cycles by Sherwin Rosen( Book )
6 editions published in 1993 in English and held by 56 libraries worldwide
Abstract: U.S. beef cattle stocks are among the most periodic time-series in economics. A theory of cattle cycles is constructed, based upon rational breeding stock inventory decisions in the presence of gestation and maturation delays between production and consumption. The low fertility rates of cows and substantial lags between fertility and consumption decisions cause the demographic structure of the herd to respond cyclically to exogenous shocks in demand for beef and in production costs. Known biotechnology of cattle demographics imply sharp numerical benchmarks for the dynamic system that describes the evolution of cattle stock and beef consumption. These compare very closely to structural econometric time-series estimates over the 1875-1990 period and prove that systematic cattle cycles have a wholly rational explanation
Long term risk an operator approach by Lars Peter Hansen( file )
6 editions published in 2006 in English and held by 50 libraries worldwide
We create an analytical structure that reveals the long run risk-return relationship for nonlinear continuous time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. This family forms a semigroup whose members are indexed by the elapsed time between payoff and valuation dates. We represent the semigroup using a positive process with three components: an exponential term constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long run approximation, and the eigenfunction gives the long run dependence on the Markov state. We establish existence and uniqueness of the relevant eigenvalue and eigenfunction. By showing how changes in the stochastic growth components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a long-run risk return tradeoff
Pay for short-term performance executive compensation in speculative markets by Patrick Bolton( file )
7 editions published in 2006 in English and held by 48 libraries worldwide
Abstract: We argue that the root cause behind the recent corporate scandals associated with CEO pay is the technology bubble of the latter half of the 1990s. Far from rejecting the optimal incentive contracting theory of executive compensation, the recent evidence on executive pay can be reconciled with classical agency theory once one expands the framework to allow for speculative stock markets
The informal sector by Áureo Nilo de Paula Neto( file )
3 editions published in 2007 in English and held by 39 libraries worldwide
This paper investigates the determinants of informal economic activity. We present two equilibrium models of informality and test their implications using a survey of 48,000+ small firms in Brazil. We define informality as tax avoidance; firms in the informal sector avoid tax payments but suffer other limitations. In the first model there is a single industry and informal firms face a higher cost of capital and a limitation on size. As a result informal firms are smaller and have a lower capital labor ratio. When education is an imperfect proxy for ability, we show that the interaction of the manager's education and formality has a positive correlation with firm size. These implications are supported by our empirical analysis. The second model highlights the role of value added taxes in transmitting informality. It predicts that the informality of a firm is correlated to the informality of firms from which it buys or sells. The model implies that higher tolerance for informal firms in one production stage increases tax avoidance in downstream and upstream sectors. Empirical analysis shows that, in fact, various measures of formality of suppliers and purchasers (and its enforcement) are correlated with the formality of a firm. Even more interestingly, when we look at sectors where Brazilian firms are not subject to the credit system of value added tax, this chain effect vanishes
Advisors and asset prices a model of the origins of bubbles by Harrison G Hong( file )
3 editions published in 2007 in English and held by 38 libraries worldwide
We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors are well-intentioned and want to maximize the welfare of their advisees (like a parent treats a child). But only some advisors understand the new technology (the tech-savvies); others do not and can only make a downward-biased recommendation (the old-fogies). While smart investors recognize the heterogeneity in advisors, naive ones mistakenly take whatever is said at face value. Tech-savvies inflate their forecasts to signal that they are not old-fogies, since more accurate information about their type improves the welfare of investors in the future. A bubble arises for a wide range of parameters, and its size is maximized when there is a mix of smart and naive investors in the economy. Our model suggests an alternative source for stock over-valuation in addition to investor overreaction to news and sell-side bias
Outside and inside liquidity by Patrick Bolton( file )
3 editions published in 2009 in English and held by 36 libraries worldwide
We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside liquidity). The question we address is, what determines the mix of inside and outside liquidity in equilibrium? An important source of inefficiency in our model is the presence of asymmetric information about asset values, which increases the longer a liquidity trade is delayed. We establish existence of an immediate-trading equilibrium, in which asset trading occurs in anticipation of a liquidity shock, and sometimes also of a delayed-trading equilibrium, in which assets are traded in response to a liquidity shock. We show that, when it exists, the delayed-trading equilibrium is Pareto superior to the immediate-trading equilibrium, despite the presence of adverse selection. However, the presence of adverse selection may inefficiently accelerate asset liquidation. We also show that the delayed-trading equilibrium features more outside liquidity than the immediate-trading equilibrium although it is supplied in the presence of adverse selection. Finally, long term contracts do not always dominate the market provision of liquidity
Yesterday's heroes compensation and creative risk-taking by Ing-Haw Cheng( file )
3 editions published in 2010 in English and held by 34 libraries worldwide
We investigate the link between compensation and risk-taking among finance firms during the period of 1992-2008. First, there are substantial cross-firm differences in residual pay (defined as total executive compensation controlling for firm size). Second, residual pay is correlated with price-based risk-taking measures including firm beta, return volatility, the sensitivity of firm stock price to the ABX subprime index, and tail cumulative return performance. Third, these risk-taking measures are correlated with short-term pay such as bonuses and options even controlling for longer-term incentives such as insider ownership stakes. Finally, compensation and risk-taking are not related to governance variables; but they do covary with ownership by institutional investors who tend to have short-termist preferences and the power to influence firms' management policies. These findings suggest that our residual pay measure is also potentially picking up firm-wide, high-powered incentives not captured by insider ownership. They also suggest that the correlation between residual pay and firm risk-taking is due to investors with heterogeneous short-termist preferences investing in different firms and incentivizing them to take different levels of risks -- National Bureau of Economic Research web site
Cream skimming in financial markets by Patrick Bolton( file )
2 editions published in 2011 in English and held by 33 libraries worldwide
We propose an equilibrium occupational choice model, where agents can choose to work in the real sector (become entrepreneurs) or to become informed dealers in financial markets. Agents incur costs to become informed dealers and develop skills for valuing assets up for trade. The financial sector comprises a transparent competitive exchange, where uninformed agents trade and an opaque over-the-counter (OTC) market, where informed dealers offer attractive terms for the most valuable assets entrepreneurs put up for sale. Thanks to their information advantage and valuation skills, dealers are able to provide incentives to entrepreneurs to originate good assets. However, the opaqueness of the OTC market allows dealers to extract informational rents from entrepreneurs. Trade in the OTC market imposes a negative externality on the organized exchange, where only the less valuable assets end up for trade. We show that in equilibrium the dealers' informational rents in the OTC market are too large and attract too much talent to the financial industry
Back to the Future Generating Moment Implications for Continuous-Time Markov Processes by Lars Peter Hansen( file )
5 editions published in 1993 in English and held by 32 libraries worldwide
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained by sampling continuous-time Markov processes
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Alternative Names
Scheinkman, J. 1948-
Scheinkman, J. A. 1948-
Scheinkman, Jose 1948-
Scheinkman, José A. 1948-
English (125)
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