| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8221 |
| 来源ID | Working Paper 8221 |
| Valuation Ratios and the Long-Run Stock Market Outlook: An Update | |
| John Y. Campbell; Robert J. Shiller | |
| 发表日期 | 2001-04-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that these ratios should be useful in forecasting future dividend growth, future earnings growth, or future productivity growth. We conclude that, overall, the ratios do poorly in forecasting any of these. Rather, the ratios appear to be useful primarily in forecasting future stock price changes, contrary to the simple efficient-markets models. This paper is an update of our earlier paper (1998), to take account of the remarkable behavior of the stock market in the closing years of the twentieth century. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w8221 |
| 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/565819 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Robert J. Shiller. Valuation Ratios and the Long-Run Stock Market Outlook: An Update. 2001. |
| 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 | ||
| w8221.pdf（370KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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