| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10336 |
| DP10336 Origins of Stock Market Fluctuations | |
| Martin Lettau; Sydney Ludvigson; Dan Greenwald | |
| 发表日期 | 2015-01-11 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the willingness to bear risk independently of macroeconomic fundamentals explain most of the variation in the market. In the long run, the market is profoundly affected by shocks that reallocate the rewards of a given level of production between workers and shareholders. Productivity shocks play a small role in historical stock market fluctuations at all horizons. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Labor income Stock market wealth Stock prices |
| URL | https://cepr.org/publications/dp10336 |
| 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/539167 |
| 推荐引用方式 GB/T 7714 | Martin Lettau,Sydney Ludvigson,Dan Greenwald. DP10336 Origins of Stock Market Fluctuations. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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