| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9988
|
| DP9988 Stock Price Booms and Expected Capital Gains |
| Albert Marcet; Klaus Adam
|
| 发表日期 | 2014-05-25
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors` subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs. Formally incorporating subjective price beliefs into an otherwise standard asset pricing model with utility maximizing investors, we show how subjective belief dynamics can temporarily delink stock prices from their fundamental value and give rise to asset price booms that ultimately result in a price bust. The model successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and expected returns observed in survey data. We show that models imposing objective or `rational` price expectations cannot simultaneously account for both facts. Our findings imply that large parts of U.S. stock price fluctuations are not due to standard fundamental forces, instead result from self-reinforcing belief dynamics triggered by these fundamentals. |
| 主题 | International Macroeconomics
|
| 关键词 | Asset prices
Subjective beliefs
Survey data
|
| URL | https://cepr.org/publications/dp9988
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538820
|
推荐引用方式
GB/T 7714 |
Albert Marcet,Klaus Adam. DP9988 Stock Price Booms and Expected Capital Gains. 2014.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
