| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP3017
|
| DP3017 Do Incentive Contracts Crowd Out Voluntary Cooperation? |
| Simon Gächter; Ernst Fehr
|
| 发表日期 | 2001-10-23
|
| 出版年 | 2001
|
| 语种 | 英语
|
| 摘要 | Standard asset pricing models have difficulty explaining cross-sectional differences in observed equity risk premia of developed and emerging markets. We argue that national equity returns are subject to sample selectivity and peso biases. The lack of credible commitment to keep capital markets open (risk of expropriation) leads to these biases. We develop a general equilibrium model for systematic risk (related to market risk and volatility risk) and sample selectivity. We find that after taking account of the sample selectivity bias, our model of systematic risk can account for the differences in risk premia quite well. We estimate the average expropriation risk to be about two-thirds of the ex-post risk premium for emerging economies and close to zero for developed economies. Further, we argue that the measured selectivity bias in equity premia provide valuable economic information regarding the incentives for sovereigns not to expropriate international investors. We find that the measured expropriation risk is related to reputations in capital markets (as argued in Eaton and Gersowitz, 1981) and to the magnitude of trade that an economy conducts (as argued in Bulow and Rogoff, 1989a, 1989b). |
| 主题 | Financial Economics
|
| 关键词 | Credibility
Dynamic general equilibrium model
International capm
Sample selectivity
Peso problems
|
| URL | https://cepr.org/publications/dp3017
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532045
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推荐引用方式
GB/T 7714 |
Simon Gächter,Ernst Fehr. DP3017 Do Incentive Contracts Crowd Out Voluntary Cooperation?. 2001.
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