WorldCat Identities

Stein, Jeremy C.

Works: 129 works in 699 publications in 1 language and 5,080 library holdings
Genres: Drama  History  Sources  Personal narratives 
Roles: Author, Other, Honoree
Classifications: HB1, 330
Publication Timeline
Most widely held works by Jeremy C Stein
Bad news travels slowly : size, analyst coverage, and the profitability of momentum strategies by Harrison G Hong( Book )

15 editions published in 1998 in English and held by 119 WorldCat member libraries worldwide

A number of theories have been proposed to explain the medium-term momentum in stock returns identified by Jegadeesh and Titman (1993). We test one such theory--based on the gradual-information-diffusion model of Hong and Stein (1997)--and establish three key results. First, once one moves past the very smallest stocks (where thin market-making capacity appears to be an issue) the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed, momentum strategies work particularly well among stocks which have low analyst coverage. Finally, there is a strong asymmetry: the effect of analyst coverage is much more pronounced for stocks that are past losers than for stocks that are past winners. These findings are consistent with the hypothesis that firm-specific information only gradually across the investing public
Banks as liquidity providers : an explanation for the co-existence of lending and deposit-taking by Anil K Kashyap( Book )

14 editions published in 1999 in English and held by 117 WorldCat member libraries worldwide

Abstract: This paper addresses the following question: what ties together the traditional commercial banking activities of deposit-taking and lending? We begin by observing that since banks often lend via commitments, or credit lines, their lending and deposit-taking may be two manifestations of the same primitive function: the provision of liquidity on demand. After all, once the decision to extend a line of credit has been made, it is really nothing more than a checking account with overdraft privileges. This observation leads us to argue that there will naturally be synergies between the two activities, to the extent that both require banks to hold large volumes of liquid assets (cash and securities) on their balance sheets: if deposit withdrawals and commitment takedowns are imperfectly correlated, the two activities can share any deadweight costs of holding the liquid assets. We develop this idea with a simple model, and then use a variety of data to test the model's empirical implications
Risk management, capital budgeting and capital structure policy for financial institutions : an integrated approach by Kenneth Froot( Book )

17 editions published between 1995 and 1996 in English and Undetermined and held by 111 WorldCat member libraries worldwide

The paper develops a framework for analyzing the capital allocation and capital structure decisions facing financial institutions such as banks. The model used incorporates two key features: i) value-maximizing banks have a well-founded concern with risk management; and ii) not all the risks they face can be frictionlessly hedged in the capital market. This approach shows how bank-level risk management considerations should factor into the pricing of those risks that cannot be easily hedged. The paper examines several applications, including: the evaluation of proprietary trading operations; and the pricing of unhedgeable derivatives positions
A unified theory of underreaction, momentum trading and overreaction in asset markets by Harrison Hong( Book )

14 editions published between 1997 and 1998 in English and held by 111 WorldCat member libraries worldwide

We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was constant. However, since longer-maturity bond prices incorporate information" about the central tendency, longer-maturity bond yields can be used to predict future short-term" rate movements. We develop a two-factor model of the term-structure which implies that a" linear combination of any two rates can be used as a proxy for the central tendency. Based on" this central-tendency proxy, we estimate a model of the one-month rate which performs better" than models which assume the central tendency to be constant
Forecasting crashes : trading volume, past returns, and conditional skewness in stock prices by Joseph Chen( Book )

14 editions published in 2000 in English and held by 109 WorldCat member libraries worldwide

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced: 1) an increase in trading volume relative to trend over the prior six months; and 2) positive returns over the prior thirty-six months. The first finding is consistent with the model of Hong and Stein (1999), which predicts that negative asymmetries are more likely to occur when there are large differences of opinion among investors. The latter finding fits with a number of theories, most notably Blanchard and Watson's (1982) rendition of stock-price bubbles. Analogous results also obtain when we attempt to forecast the skewness of the aggregate stock market, though our statistical power in this case is limited
What do a million banks have to say about the transmission of monetary policy? by Anil Kashyap( Book )

14 editions published in 1997 in English and held by 109 WorldCat member libraries worldwide

Abstract: In an effort to shed new light on the monetary transmission mechanism, we create a panel data set that includes quarterly observations of every insured commercial bank in the United States over the period 1976-1993. Our key cross-sectional finding is that the impact of monetary policy on lending behavior is significantly more pronounced for banks with less liquid balance sheets -- i.e., banks with lower ratios of cash and securities to assets. Moreover, this result is entirely attributable to the smaller banks in our sample, those in the bottom 95% of the size distribution. Among other things, our findings provide strong support for the existence of a lending channel
Rational capital budgeting in an irrational world by Jeremy C Stein( Book )

15 editions published between 1995 and 1996 in English and held by 108 WorldCat member libraries worldwide

This paper addresses the following basic capital budgeting question: Suppose that cross-sectional differences in stock returns can be predicted based on variables other than beta (e.g., book-to- market), and that this predictability reflects market irrationality rather than compensation for fundamental risk. In this setting, how should companies determine hurdle rates? I show how factors such as managerial time horizons and financial constraints affect the optimal hurdle rate. Under some circumstances, beta can be useful as a capital budgeting tool, even if it is of no use in predicting stock returns
Waves of creative destruction : customer bases and the dynamics of innovation by Jeremy C Stein( Book )

12 editions published in 1994 in English and held by 105 WorldCat member libraries worldwide

This paper develops a model of repeated innovation with knowledge spillovers. The model's novel feature is that firms compete on two dimensions: 1) product quality or cost, where one firm's innovation ultimately spills over to other firms; and 2) distribution costs, where there are no spillovers across firms and where incumbent firms' existing customer bases give them a competitive advantage over would- be entrants. Customer bases have two important consequences: 1) they can in some circumstances dramatically reduce the long-run average level of innovation; 2) they lead to endogenous bunching, or waves, in innovative activity
Impact of monetary policy on bank balance sheets by A. K Kashyap( Book )

11 editions published between 1994 and 1995 in English and held by 104 WorldCat member libraries worldwide

This paper uses disaggregated data on bank balance sheets to provide a test of the lending view of monetary policy transmission. We argue that if the lending view is correct, one should expect the loan and security portfolios of large and small banks to respond differentially to a contraction in monetary policy. We first develop this point with a theoretical model; we then test to see if the model's predictions are borne out in the data
Leverage and house-price dynamics in U.S. cities by Owen Lamont( Book )

15 editions published in 1997 in English and held by 104 WorldCat member libraries worldwide

In this paper, we use city-level data to analyze the relationship between homeowner borrowing patterns and house-price dynamics. Our principal finding is that in cities where homeowners are more leveraged--i.e., have higher loan-to-value ratios--house prices react more sensitively to city-specific shocks, such as changes in per-capita income. This finding is consistent with recent theories which emphasize the role of collateralized borrowing in shaping the behavior of asset prices
The dark side of internal capital markets : divisional rent-seeking and inefficient investment by David S Scharfstein( Book )

15 editions published in 1997 in English and held by 104 WorldCat member libraries worldwide

We develop a model that shows how rent-seeking behavior on the part of division managers can subvert the workings of an internal capital market. In an effort to stop rent-seeking, corporate headquarters will be effectively forced into paying bribes to some division managers. And because headquarters is itself an agent of outside investors, the bribes may take the form not of cash, but rather of preferential capital budgeting allocations. One interesting feature of our model is a kind of socialism' in internal capital allocation, whereby weaker divisions tend to get subsidized by stronger ones
An adverse selection model of bank asset and liability management with implications for the transmission of monetary policy by Jeremy C Stein( Book )

13 editions published between 1995 and 1997 in English and held by 104 WorldCat member libraries worldwide

This paper develops a model of bank asset and liability management, based on the idea that information problems make it difficult for banks to raise funds with instruments other than insured deposits. The model can be used to address the question of how monetary policy works. One effect it captures is that when the Fed reduces reserves, this tightens banks' financing constraints and thereby leads to a cutback in bank lending -- this is the 'bank lending channel' in action. However, in addition to providing a specific set of microfoundations for the lending channel, the model also yields a novel account of how monetary policy affects bond-market interest rates
The photographer( Visual )

2 editions published in 2003 in English and held by 103 WorldCat member libraries worldwide

What happens to a New York photographer at the top of his game when he's fallen to the bottom? He hits a seedy bar downtown and drowns his sorrows. But somewhere between the bottom of a glass and the sawdust on the floor, he finds an envelope containing ten photographs that bring his life back into focus. He attempts to pass the photographs off as his own until they are stolen from him. Now he must undertake a journey through the seedy streets of after-hours New York in search of the vision he lost
Differences of opinion, rational arbitrage, and market crashes by Harrison G Hong( Book )

11 editions published in 1999 in English and held by 103 WorldCat member libraries worldwide

We develop a theory of stock-market crashes based on differences of opinion among investors. Because of short-sales constraints, bearish investors do not initially participate in the market and their information is not revealed in prices. However, if other, previously-bullish investors have a change of heart and bail out of market, the originally-more-bearish group may become the marginal "support buyers", and hence more will be learned about their signals. Thus accumulated hidden information tends to come out during market declines. The model helps explain a variety of stylized facts, including: 1) large movements in prices unaccompanied by significant news about fundamentals; 2) negative skewness in the distribution of market returns; and 3) increased correlation among stocks in a falling market. In addition, the model makes a distinctive out-of-sample prediction: that negative skewness will be most pronounced conditional on high trading volume
Information production and capital allocation : decentralized vs. hierarchical firms by Jeremy C Stein( Book )

14 editions published in 2000 in English and held by 102 WorldCat member libraries worldwide

This paper assesses different organizational forms in terms of their ability to generate information about investment projects and allocate capital to these projects efficiently. A decentralized approach with small, single-manager firms is most likely to be attractive when information about individual projects is soft' and cannot be credibly transmitted. Moreover, holding fixed firm size, soft information also favors flatter organizations with fewer layers of management. In contrast, large hierarchical firms with multiple layers of management are at a comparative advantage when information can be costlessly hardened' and passed along within the hierarchy. As a concrete application of the theory, the paper discusses the consequences of consolidation in the banking industry. It has been documented that when large banks acquire small banks, there is a pronounced decline in lending to small businesses. To the extent that small-business lending relies heavily on soft information, this is exactly what the theory would lead one to expect
Internal versus external capital markets by Robert H Gertner( Book )

12 editions published in 1994 in English and held by 100 WorldCat member libraries worldwide

This paper presents a framework for analyzing the costs and benefits of internal vs. external capital allocation. We focus primarily on comparing an internal capital market to bank lending. While both represent centralized forms of financing, in the former case the financing is owner-provided, while in the latter case it is not. We argue that the ownership aspect of internal capital allocation has three important consequences: 1) it leads to more monitoring than bank lending; 2) it reduces managers' entrepreneurial incentives; and 3) it makes it easier to efficiently redeploy the assets of projects that are performing poorly under existing management
Social interaction and stock-market participation by Harrison G Hong( Book )

12 editions published in 2001 in English and held by 98 WorldCat member libraries worldwide

We investigate the idea that stock-market participation is influenced by social interaction. We build a simple model in which any given 'social' investor finds it more attractive to invest in the market when the participation rate among his peers is higher. The model predicts higher participation rates among social investors than among 'non-socials'. It also admits the possibility of multiple social equilibria. We then test the theory using data from the Health and Retirement Study. Social households - defined as those who interact with their neighbors, or who attend church - are indeed substantially more likely to invest in the stock market than non-social households, controlling for other factors like wealth, race, education and risk tolerance. Moreover, consistent with a peer-effects story, the impact of sociability is stronger in states where stock-market participation rates are higher
Market liquidity as a sentiment indicator by Malcolm Baker( Book )

14 editions published in 2002 in English and held by 98 WorldCat member libraries worldwide

We build a model that helps explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of trade, or higher share turnover - predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational investors, who underreact to the information contained in order flow, thereby boosting liquidity. In the presence of short-sales constraints, unusually high liquidity is a symptom of the fact that the market is currently dominated by these irrational investors, and hence is overvalued. This theory can also explain how managers might successfully time the market for seasoned equity offerings (SEOs), by simply following a rule of thumb that involves issuing when the SEO market is particularly liquid. Empirically, we find that: i) aggregate measures of equity issuance and share turnover are highly correlated; yet ii) in a multiple regression, both have incremental predictive power for future equal-weighted market returns
When does the market matter? : stock prices and the investment of equity-dependent firms by Malcolm Baker( Book )

14 editions published in 2002 in English and held by 97 WorldCat member libraries worldwide

We use a simple model of corporate investment to determine when investment will be sensitive to non-fundamental movements in stock prices. The key cross-sectional prediction of the model is that stock prices will have a stronger impact on the investment of firms that are 'equity dependent' - firms that need external equity to finance their marginal investments. Using an index of equity dependence based on the work of Kaplan and Zingales (1997), we find strong support for this prediction. In particular, firms that rank in the top quintile of the KZ index have investment that is almost three times as sensitive to stock prices as firms in the bottom quintile. We also verify several other predictions of the model
Agency, information and corporate investment by Jeremy C Stein( )

13 editions published in 2001 in English and held by 97 WorldCat member libraries worldwide

This essay surveys the body of research that asks how the efficiency of corporate investment is influenced by problems of asymmetric information and agency. I organize the material around two basic questions. First, does the external capital market channel the right amount of money to each firm? That is, does the market get across-firm allocations right, so that the marginal return to investment in firm i is the same as the marginal return to investment in firm j? Second, do internal capital markets channel the right amount of money to individual projects within firms? That is, does the internal capital budgeting process get within-firm allocations right, so that the marginal return to investment in firm i's division A is the same as the marginal return to investment in firm i's division B? In addition to discussing the theoretical and empirical work that bears most directly on these questions, the essay also briefly sketches some of the implications of this work for broader issues in both macroeconomics and the theory of the firm
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Audience level: 0.64 (from 0.25 for The photog ... to 0.72 for Bad news t ...)

Associated Subjects
Arbitrage--Econometric models Asset-liability management--Mathematical models Bank deposits--Econometric models Bank loans--Econometric models Bank reserves Bank reserves--Econometric models Banks and banking Banks and banking--Econometric models Board of Governors of the Federal Reserve System (U.S.) Capital budget--Mathematical models Capital investments Capital investments--Mathematical models Capital market Competition Corporations--Finance Corporations--Finance--Econometric models Corporations--Finance--Mathematical models Economics Ethnic relations Federal Deposit Insurance Corporation.--Board of Directors Financial crises--Econometric models Hedging (Finance)--Mathematical models Holocaust, Jewish (1939-1945) Housing--Finance--Econometric models Housing--Prices--Econometric models Industrial organization--Econometric models Information theory in economics Information theory in finance Investments--Social aspects Liquidity (Economics) Liquidity (Economics)--Econometric models Management Monetary policy--Econometric models Monetary policy--Mathematical models New York (State)--New York Occupation of Poland (1939-1945) Photographers Photographs Photography--Exhibitions Poland--Łódź Powell, Jerome H., Resource allocation--Mathematical models Stock exchanges--Econometric models Stock price forecasting Stocks--Prices Technological innovations Technological innovations--Economic aspects--Mathematical models Troubled Asset Relief Program (U.S.) United States United States.--Department of the Treasury.--Office of Financial Research
Alternative Names
Jeremy C. Stein Ameerika Ühendriikide majandusteadlane

Jeremy C. Stein American economist

Jeremy C. Stein economist american

Jeremy C. Stein economista estadounidense

Jeremy C. Stein economista estatunidenc

Jeremy C. Stein économiste américain

Jeremy C. Stein ekonomist amerikan

Jeremy C. Stein usona ekonomikisto

Stein, J. C. 1960-

Stein, Jeremy 1960-

جيريمي شتاين عالم اقتصاد أمريكي


English (263)