| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10351 |
| DP10351 Long-run bulls and bears | |
| Martin Eichenbaum; Sérgio Rebelo; Rui Albuquerque; Dimitris Papanikolaou | |
| 发表日期 | 2015-01-18 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation between stock returns and fundamentals across bull and bear episodes. This correlation is much higher than the analogous time-series correlations. We show that several asset pricing models cannot simultaneously account for the low time-series and high episode correlations. |
| 主题 | Financial Economics |
| 关键词 | Stock market returns |
| URL | https://cepr.org/publications/dp10351 |
| 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/539182 |
| 推荐引用方式 GB/T 7714 | Martin Eichenbaum,Sérgio Rebelo,Rui Albuquerque,et al. DP10351 Long-run bulls and bears. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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。
