| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20678 |
| 来源ID | Working Paper 20678 |
| Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes | |
| Anisha Ghosh; George M. Constantinides | |
| 发表日期 | 2014-11-17 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | An economy in which investors know the true model and its parameters and filter the regime probability from aggregate consumption history has been empirically rejected. Hypothesizing that prices partly reflect investorsʼ belief about the regime, we infer beliefs from prices. The model fits well the moments of the market return, risk free rate, and price-dividend ratio. Consistent with the data, it implies higher mean and lower volatility of consumption and dividend growth rates, lower mean and volatility of the market return and equity premium, and higher mean of the price-dividend ratio in the first regime compared with the second one. The probability of recession in a year is 62:5% (23:7%) if the probability of being in the first regime at the beginning of the year is lower (higher) than 50%. The results support the hypothesis that investors employ a broader information set than just aggregate consumption history in forming their beliefs. |
| 主题 | Microeconomics ; Behavioral Economics ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w20678 |
| 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/578352 |
| 推荐引用方式 GB/T 7714 | Anisha Ghosh,George M. Constantinides. Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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