| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10263 |
| 来源ID | Working Paper 10263 |
| Inflation Illusion and Stock Prices | |
| John Y. Campbell; Tuomo Vuolteenaho | |
| 发表日期 | 2004-02-02 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and Cohn's (1979) hypothesis and the persistent use of the Fed model' by Wall Street suggest that the stock market incorrectly extrapolates past nominal growth rates without taking into account the impact of time-varying inflation. Consistent with the Modigliani-Cohn hypothesis, we find that the level of inflation explains almost 80% of the time-series variation in stock-market mispricing. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w10263 |
| 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/567892 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Tuomo Vuolteenaho. Inflation Illusion and Stock Prices. 2004. |
| 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 | ||
| w10263.pdf（381KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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