| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13454
|
| DP13454 Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment |
| Ian Martin; Can Gao
|
| 发表日期 | 2019-01-15
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually high during the late 1990s, reflecting dividend growth expectations that in our view were unreasonably optimistic. We interpret it as helping to reveal irrational beliefs about fundamentals. We show that our measure is a leading indicator of detrended volume, and of various other measures associated with financial fragility. We also make two methodological contributions. First, we derive a new valuation-ratio decomposition that is related to the Campbell and Shiller (1988) loglinearization, but which resembles the traditional Gordon growth model more closely and has certain other advantages for our purposes. Second, we introduce a volatility index that provides a lower bound on the market's expected log return. |
| 主题 | Financial Economics
; Monetary Economics and Fluctuations
|
| 关键词 | Volatility
Valuation ratios
Bubbles
Sentiment
Option prices
|
| URL | https://cepr.org/publications/dp13454
|
| 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/542269
|
推荐引用方式
GB/T 7714 |
Ian Martin,Can Gao. DP13454 Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment. 2019.
|
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