| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w0471 |
| 来源ID | Working Paper 0471 |
| Expectations and the Valuation of Shares | |
| Burton G. Malkiel; John G. Cragg | |
| 发表日期 | 1980-04-01 |
| 出版年 | 1980 |
| 语种 | 英语 |
| 摘要 | This is a study using a unique body of expectations data collected over the decade of the 1960s. After describing the data, this paper first looks at the extent of consensus among those financial institutions providing the forecasts and measures the accuracy of the forecasts. We then ask if the forecasts are consistent with the hypothesis that tile expectations are "rational". We then turn to the relationship of the forecasts to security valuation. We develop our own variant of the popular capital asset pricing model using a framework suggested by Ross for this arbitrage model. Alternative specifications are developed relating expected returns to risk variables and relating securities prices to expectations and risk variables. We find that the expectations data of the sort we have collected do appear to influence security prices in the manner suggested by the theory. We also find that the expected security returns implied by the expectations data are related to "systematic" risk measures appropriately defined. Nevertheless, we find that, even when a variety of systematic influences are used, other risk measures, possibly related to their own variance of the securities, appear to play some role in security valuation. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w0471 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557654 |
| 推荐引用方式 GB/T 7714 | Burton G. Malkiel,John G. Cragg. Expectations and the Valuation of Shares. 1980. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w0471.pdf（1946KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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