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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w11018 |
来源ID | Working Paper 11018 |
Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis | |
Randolph B. Cohen; Christopher Polk; Tuomo Vuolteenaho | |
发表日期 | 2005-01-10 |
出版年 | 2005 |
语种 | 英语 |
摘要 | Modigliani and Cohn [1979] hypothesize that the stock market suffers from money illusion, discounting real cash flows at nominal discount rates. While previous research has focused on the pricing of the aggregate stock market relative to Treasury bills, the money-illusion hypothesis also has implications for the pricing of risky stocks relative to safe stocks. Simultaneously examining the pricing of Treasury bills, safe stocks, and risky stocks allows us to distinguish money illusion from any change in the attitudes of investors towards risk. Our empirical resuts support the hypothesis that the stock market suffers from money illusion. |
主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; History ; Financial History |
URL | https://www.nber.org/papers/w11018 |
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/568653 |
推荐引用方式 GB/T 7714 | Randolph B. Cohen,Christopher Polk,Tuomo Vuolteenaho. Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis. 2005. |
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 | ||
w11018.pdf(319KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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