经济The Inefficiency of the Stock Market Equilibrium

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The Inefficiency of the Stock Market Equilibrium

文献名称	The Inefficiency of the Stock Market Equilibrium
文献作者	Joseph E. Stiglitz
作者所在单位	Princeton University
文献分类	已发表文献
学科一级分类	经济
学科二级分类	经济思想史
文献摘要	This paper establishes that when there is not a complete set of markets but more than one commodity the stock market equilibrium will not in general be a constrained Pareto optimum.The economy will lack both the property of exchange and production efficiency. Necessary conditions which must be satisfied if the economy is to be a constrained Pareto optimum for all technologies are derived; if all individuals have identical, homothetic indifference maps, then either there must be unitary price elasticities (so there is no effective risk) or all individuals must have the same degree of risk aversion (so there is no trade on the stock market).
参考文献	ARNOTT, R. and STIGLITZ, J. E. (1980), "Moral Hazard and the Inefficiency of Competitive Equilibrium" (mimeo, paper prepared for Conference at Bell Laboratories). ARROW, K. J. (1964), "The Role of Securities in the Optimal Allocation of Risk-Bearing", Review of Economic Studies, 31, 91-96. BORCH, K. (1962), "Equilibrium in a Reinsurance Market", Econometrica, 30, 424-444. BORCH, K. (1960), "The Safety Loading of Reinsurance Premiums", Skandinavisk Aktuarietidskrift, 163-184. BORCH, K. (1968), "General Equilibrium in the Economics of Uncertainty", in Borch, K. and Mossin, J. (eds.) Risk and Uncertainty (London: Macmillan) 47-58. BORCH, K. (1968). The Economics of Uncertainty (Princeton University Press). DIAMOND, P. (1967), "The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty", American Economic Review, 57, 759-776. DREZE, J. H. (1974), "Investment under Private Ownership: Optimality, Equilibrium and Stability", in Dreze, J. H. (ed.) Allocation under Uncertainty: Equilibrium and Optimality (Macmillan) Chapter 9. GROSSMAN, S. J. and STIGLITZ, J. E. (1977), "On Value Maximization and Alternative Objectives of the Firm", Journal of Finance, 32 (2), 389-402. GROSSMAN, S. J. and STIGLITZ, J. E. (1980), "Stockholder Unanimity in Making Production and Financial Decisions", Quarterly Journal of Economics, 525-542. HART, 0. (1975), "On the Optimality of Equilibrium when the Market Structure is Incomplete", Journal of Economic Theory, 11, 418-443. JENSEN, M. C. and LONG, J. B. Jr. (1972), "Corporate Investment under Uncertainty and Pareto Optimality in the Capital Markets", Bell Journal of Economics and Management Science, 3 (1), 151-174. NEWBERY, D. and STIGLITZ, J. E. (1979), "Pareto Inferior Trade" (mimeo). STIGLITZ, J. E. (1972a), "On the Optimality of the Stock Market Allocation of Investment", Quarterly Journal of Economics, 25-60. STIGLITZ, J. E. (1972b), "Some Aspects of the Pure Theory of Corporate Finance Bankruptcies and Take-Overs", Bell Journal of Economics and Management Science, 2, 458-482. STIGLITZ, J. E. (1975a), "The Efficiency of Market Prices in Long Run Allocations in the Oil Industry", in Brannon, G. (ed.) Studies in Energy Tax Policy (Cambridge, Mass: Ballinger Publishing Co.) 55-99. STIGLITZ, J. E. (1975b), "Reply to Mr. Singleton on 'Some Aspects of the Pure Theory of Corporate Finance: Bankruptcies and Take-Overs"', Bell Journal of Economics and Management Science, 16 (2), 711-714.
关键字	Stock Market Equilibrium
发表所在刊物（或来源）	The Review of Economic Studies, Vol. 49, No. 2 (Apr., 1982), pp. 241-261
发表时间	Apr., 1982
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yuzhenjjx2000	yuzhenjjx2000发表于:2011-2-10 11:59 Thanks so much
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