Unit:
Deparment of EconomicsLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Stravelakis Nikos
Dissertation committee:
Νικόλαoς Θεοχαράκης, Καθηγητής. Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ, επιβλέπων
Ελευθέριος Τσουλφίδης, Καθhγητής, Τμήμα Οικονομικών Επειστημών, ΠΑΜΑΚ
Νικόλαος Χαριτάκης, Αφυπηρετήσας Επίκουρος Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Νικόλαος Ηρειώτης, Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Στυλιανός Κώτσιος, Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Εμμανουήλ Κουντούρης, Λέκτορας, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Anwar Shaikh, Καθηγητής, Department of Economics Graduate Faculty, New School For Social Research
Original Title:
Αποτίμηση Κεφαλαιακών Τίτλων από τα Θεμελιώδη Μεγέθη - Η Προσέγγιση των Κερδών
Translated title:
Asset Pricing from the Fundamentals - A Profit Based Approach
Summary:
The bottom line of this dissertation is an original interpretation of the economic crises. In its context, the collapse of stock, bond, and financial markets, in general, is not the cause but the trigger of crises. It is an approach that explains important aspects of the depression that began in 2008 but also the usefulness and limits of financial market regulation policies.
To reach this conclusion, the dissertation begins with a critical review of the "mainstream" theory of finance and points out the analytical shortcomings of the theory. The latter explains its poor empirical performance, especially in the valuation of capital securities. Leading orthodox economists such as Robert Shiller and Edward Prescott have pointed out these weaknesses. This led to the abandonment of the "efficient markets hypothesis" by the profession. Nevertheless, the approaches that followed the "efficient markets" from the point of view of neoclassical theory (behavioral finance, the "three-factor model", rational bubbles, the divergence of individual and collective interest, theories of collective action and financial panic, and market frictions - asymmetric information theories) are mainly concerned with why the theory fails in its original form than with creating a reliable asset pricing theory.
The dissertation proposes an alternative pricing theory based on “Real Economic Analysis”, i.e., classical political economy and Marxist theory, especially on the work of Professor Anwar Shaikh. This theory focuses on the role of the rate of return on new investments, in the theory’s terminology the “incremental rate of profit”, as the key interpretive variable of financial phenomena. This means that the returns on financial securities tend to become equal with those of the "real economy" through capital mobility between the productive and financial sectors. The dissertation extends, and partially differentiates, Professor Anwar Shaikh's theory and explores it empirically by extending the control period to 2020. The empirical research introduces new methods borrowed from physics and in particular the theory of “transfer entropy”. These methods can be used also for future research.
Main subject category:
Social, Political and Economic sciences
Keywords:
Asset Pricing, Financial Economics, Political Economy, Real Economic Analysis
Number of references:
258
