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Grossman, Sanford J.

Overview
Works: 85 works in 212 publications in 1 language and 1,136 library holdings
Roles: Author, Editor
Classifications: HG4636, 332.63222
Publication Timeline
Key
Publications about Sanford J Grossman
Publications by Sanford J Grossman
Most widely held works by Sanford J Grossman
The informational role of prices by Sanford J Grossman( Book )
18 editions published between 1989 and 2005 in English and held by 512 libraries worldwide
Trading volume and serial correlation in stock returns by John Y Campbell( Book )
13 editions published in 1992 in English and held by 49 libraries worldwide
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return
Liquidity and market structure by Sanford J Grossman( Book )
10 editions published between 1988 and 1989 in English and held by 29 libraries worldwide
Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence. and willingness to bear risk during the time period between the arrival of final buyers and sellers. In the long run the number of market makers adjusts to equate the supply and demand for immediacy. This determine the equilibrium level of liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity
One share/one vote and the market for corporate control by Sanford J Grossman( Book )
12 editions published between 1987 and 1988 in English and Undetermined and held by 29 libraries worldwide
A corporation's securities provide the holder with particular claims on the firm's income stream and particular voting rights. These securities can be designed in various ways: one share of a particular class may have a claim to votes which is disproportionately larger or smaller than its claim to income. In this paper we analyze some of the forces which make it desirable to set up the corporation so that all securities have the same proportion of votes as their claim to income ("one share/one vote"). We show that security structure influences both the conditions under which a control change takes place and the terms on which it occurs. First, the allocation of voting rights to securities determines which securities a party must acquire in order to win control. Secondly, the assignment of income claims to the same securities determines the cost of acquiring these voting rights. We will show that it is in shareholders' interest to set the cost of acquiring control to be as large as possible, consistent with a control change occurring whenever this increases shareholder wealth. Under certain assumptions, one share/one vote best achieves this goal. We distinguish between two classes of benefits from control: private benefits and security benefits. The private benefits of control refer to benefits the current management or the acquirer obtain for themselves, but which the target security holders do not obtain. The security benefits refer to the total market value of the corporation's securities. The assignment of income claims to voting rights determines the extent 'to which an acquirer must face competition from parties who value the firm for its security benefits rather than its private benefits
Unemployment with observable aggregate shocks by Sanford J Grossman( Book )
5 editions published in 1982 in English and held by 24 libraries worldwide
Consider an economy subject to two kinds of shocks: (a) an observable shock to the relative demand for final goods which causes dispersion in relative prices, and (b) shocks, unobservable by workers, to the technology for transforming intermediate goods into final goods. A worker in a particular intermediate goods industry knows that the unobserved price of his output is determined by (1) the technological shock that determines which final goods industry uses his output intensively and (2) the price of the final good that uses his output intensively. When there is very little relative price dispersion among final goods, then it doesn't matter which final goods industry uses the worker's output. Thus the technological shock is of very little importance in creating uncertainty about the worker's marginal product when there is little dispersion of relative prices. Hence an increase in the dispersion of relative prices amplifies the effect of technological uncertainty on a worker's marginal value product. We consider a model of optimal labor contracts in a situation where the workers have less information than the firm about their marginal value product. A relative price shock of the type described above increases the uncertainty which workers have about their marginal value product. We show that with an optimal asymmetric information employment contract the industries which are adversely affected by the relative price shock will contract more than they would under complete information (i.e., where workers could observe their marginal value product). On the other hand the industry which is favorably affected by the relative price shock will - not expand by more than would be the case under complete information. Hence an observed relative demand shock, which would leave aggregate employment unchanged under complete information, will cause aggregate employment to fall under asymmetric information about the technological shock
Estimating the continuous time consumption based asset pricing model by Sanford J Grossman( Book )
8 editions published in 1985 in English and held by 22 libraries worldwide
The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between percapita consumption growth and asset returns. Estimation and testingis complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or unit average of the consumption flow is available. In our paper, we show how to estimate the parameters of interest consistently from the available data by maximum likelihood. We estimate the market's degree of relative risk aversion and the instantaneous covariances of asset yields and consumption using six different data sets. We also test the model's overidentifying restrictions
Sequential bargaining under asymmetric information by Sanford J Grossman( Book )
11 editions published between 1985 and 1986 in English and Undetermined and held by 19 libraries worldwide
We analyze an infinite stage, alternating offer bargaining game in which the buyer knows the gains from trade but the seller does not. Under weak assumptions the game has a unique candidate Perfect Sequential Equilibrium, and it can be solved by backward induction. Equilibrium involves the seller making an offer which is accepted by buyers with high gains from trade, while buyers with medium gains reject and make a counteroffer which the seller accepts. Buyers with low gains make an unacceptable offer, and then the whole process repeats itself, Numerical simulations demonstrate the effects of uncertainty on the length of bargaining
The costs and benefits of ownership : a theory of vertical and lateral integration by Sanford J Grossman( Book )
7 editions published between 1984 and 1985 in English and held by 16 libraries worldwide
What determines how integrated a firm is? We emphasize the benefits of "control" when there are difficulties in writing complete contracts. We define the firm as being composed of its assets. We present a theory of costly contracts which emphasizes that contractual rights can be of two types: specific rights and residual rights. When it is too costly to list all specific rights over assets in the contract, it may be optimal to let one party purchase all residual rights. Ownership is the purchase of these residual rights. We show that there can be costs associated with the wrong allocation of residual rights
Monetary dynamics with proportional transaction costs and fixed payment periods by Sanford J Grossman( Book )
7 editions published between 1985 and 1989 in English and held by 15 libraries worldwide
A general equilibrium model of an economy is presented where people hold money rather than bonds in order to economize on transaction costs. In any such model it is not optimal for individuals to instantaneously adjust their money holdings when new information arrives. The (endogenous) delayed response to new information generates a response to a new monetary policy which is quite different from that of standard flexible price models of monetary equilibrium. Though all goods markets instantaneously clear, the monetary transaction cost causes delayed responses in nominal variables to a change in monetary policy. This in turn causes real variables to respond to the new monetary policy.The two classes of monetary policies analyzed here are price level policies and interest rate policies. Price level policies are monetary policies which in general equilibrium keep the nominal rate constant, but change the long run price level . We show that the money supply must rise gradually to its new steady level if the price level is to be raised without causing nominal interest rates to fall. When interest rate policies are analyzed, it becomes clear that aggregate money demand at time t depends on the path of interest rates, not just the instantaneous interest rate at time t. This is because the aggregate money holding at time t is composed of the money holdings of various consumers, each of whom has a different but overlapping holding period. The staggering of money holding periods is a necessary condition for general equilibrium; general equilibrium requires that some consumers must be incrementing their cash when other consumers are decrementing their cash via spending. Some results of our analysis include the fact that high frequency movements of the interest rate cause a much smaller change in money demand than low frequency movements, since it is the integral of the interest rateover a holding period which determines money demand. Further, at high frequencies, the rate of inflation is not the differen
A transactions based model of the monetary transmission mechanism : Part 2 by Sanford J Grossman( Book )
8 editions published between 1982 and 1984 in English and held by 14 libraries worldwide
What are the effects of open market operations? How do these differ from money falling from heaven? We propose a new explanation of how open market operations can change real and nominal interest rates which emphasizes three often mentioned but seldom explicitly articulated features of actual monetary economies: i) going to the bank is costly so that people will tend to bunch cash withdrawals, ii) people don't all go to the bank simultaneously and, because of these, iii) at any instant of time agents hold different amounts of cash. We show that these considerations imply that an open market purchase of a bond for fiat money will drive down nominal and real interest rates, lead to a delayed positive price response, and have damped persistent effects on both prices and nominal interest rates if agents have logarithmic utility of consumption. We assume output is exogenous, so that the model can shed only indirect light on the relationship between money and aggregate output. The model has emphasized how a change in the money supply affects the spending decision of those agents making withdrawals at the time of an open market operation. Considerations of intertemporal substitution imply that the real rate must decline to induce these agents to consume more. Because this new money is spent gradually, prices will rise slowly and reach their steady state level long after the interval of time between trips to the bank
Customer protection in futures and securities markets by Daniel R Fischel( Book )
2 editions published in 1984 in Undetermined and English and held by 11 libraries worldwide
Take-over bids and the theory of the corporation by Sanford J Grossman( Book )
1 edition published in 1978 in English and held by 11 libraries worldwide
Portfolio insurance in complete markets : a note by Sanford J Grossman( Book )
4 editions published in 1988 in English and held by 10 libraries worldwide
The determinants of the variability of stock market prices by Sanford J Grossman( Book )
6 editions published between 1980 and 1981 in English and held by 10 libraries worldwide
The most familiar interpretation for the large and unpredictable swings that characterize common stock price indices is that price changes represent the efficient discounting of "new information" It is remarkable given the popularity of this interpretation that it has never been established what this information is about. Recent work by Shiller, and Stephen LeRoy and Richard Porter, has shown evidence that the variability of stock price indices cannot be accounted for by information regarding future dividends since dividends just do not seem to vary enough to justify the price movement. These studies assume a constant discount factor. In this paper, we consider whether the variability of stock prices can be attributed to information regarding discount factors (i.e., real interest rates), which are in turn related to current and future levels of economic activity. The appropriate discount factor to be applied to dividends which are received k years from today is the marginal rate of substitution between consumption today and consumption k periods from today, We use historical data on per capita consumption from 1890-1979 to estimate the realized value of these marginal rates of substitution. Theoretically, as LeRoy and C.J. La Civita have also noted independently of us, consumption variability may induce stock price variability whose magnitude depends on the degree of risk aversion
Further results on the informational efficiency of competitive stock markets by Sanford J Grossman( Book )
2 editions published between 1977 and 1978 in English and held by 10 libraries worldwide
Takeover bids, the free rider problem, and the theory of the corporation by Sanford J Grossman( Book )
7 editions published between 1979 and 2000 in English and Undetermined and held by 9 libraries worldwide
Optimal dynamic hedging by Sanford J Grossman( Book )
2 editions published in 1988 in English and held by 8 libraries worldwide
Consumption correlation and risk measurement in economies with non-traded assets and heterogeneous information by Sanford J Grossman( Book )
3 editions published in 1981 in English and held by 8 libraries worldwide
"The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that (a) all risky assets are tradable, (b) investors have homogeneous beliefs, (c) other assets can be traded without transactions costs and (d) that all assets have returns which are Ito processes"--NBER website
One share by Sanford J Grossman( Book )
2 editions published in 1987 in English and held by 1 library worldwide
Abstract: A corporation's securities provide the holder with particular claims on the firm's income stream and particular voting rights. These securities can be designed in various ways: one share of a particular class may have a claim to votes which is disproportionately larger or smaller than its claim to income. In this paper we analyze some of the forces which make it desirable to set up the corporation so that all securities have the same proportion of votes as their claim to income ("one share/one vote"). We show that security structure influences both the conditions under which a control change takes place and the terms on which it occurs. First, the allocation of voting rights to securities determines which securities a party must acquire in order to win control. Secondly, the assignment of income claims to the same securities determines the cost of acquiring these voting rights. We will show that it is in shareholders' interest to set the cost of acquiring control to be as large as possible, consistent with a control change occurring whenever this increases shareholder wealth. Under certain assumptions, one share/one vote best achieves this goal. We distinguish between two classes of benefits from control: private benefits and security benefits. The private benefits of control refer to benefits the current management or the acquirer obtain for themselves, but which the target security holders do not obtain. The security benefits refer to the total market value of the corporation's securities. The assignment of income claims to voting rights determines the extent 'to which an acquirer must face competition from parties who value the firm for its security benefits rather than its private benefits
Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information ( file )
2 editions published in 1982 in English and held by 0 libraries worldwide
The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that (a) all risky assets are tradable, (b) investors have homogeneous beliefs, (c) other assets can be traded without transactions costs and (d) that all assets have returns which are Ito processes
 
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Associated Subjects
Business cycles--Mathematical models Capital assets pricing model Commodity exchanges--Law and legislation Competition Consumption (Economics)--Mathematical models Corporations Corporations--Finance Corporations--Finance--Mathematical models Corporations--Investor relations Economics Employment (Economic theory)--Mathematical models Equilibrium (Economics) Hedging (Finance)--Mathematical models Industrial organization (Economic theory) Industrial organization (Economic theory)--Mathematical models Information theory in economics Interest rates--Mathematical models Investments--Econometric models Investments--Mathematical models Labor supply--Mathematical models Liquidity (Economics) Liquidity (Economics)--Mathematical models Management Monetary policy--Mathematical models Money supply--Mathematical models Negotiation--Mathematical models Open market operations--Mathematical models Options (Finance) Portfolio management--Mathematical models Prices Prices--Mathematical models Rate of return--Mathematical models Risk management Social sciences--Mathematical models Stock exchanges--Econometric models Stock exchanges--Law and legislation Stock exchanges--Mathematical models Stockholders' voting Stock ownership--Econometric models Stock price forecasting Stocks Stocks--Mathematical models Stocks--Prices Stocks--Prices--Mathematical models Tender offers (Securities) Tender offers (Securities)--Mathematical models Unemployed--Mathematical models Unemployment--Mathematical models United States Vertical integration
Alternative Names
Grossman, Sanford
Sanford Grossman économiste américain
Sanford Grossman US-amerikanischer Wirtschaftswissenschaftler und Finanzberater
Sanford J. Grossman Amerikaans econoom
Sanford J. Grossman amerikansk ekonom
Sanford J. Grossman amerikansk økonom
Гроссман, Сэнфорд
サンフォード・グロスマン
桑福德·J·格羅斯曼
Languages
English (126)
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