| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23689 |
| 来源ID | Working Paper 23689 |
| What Information Drives Asset Prices? | |
| Anisha Ghosh; George M. Constantinides | |
| 发表日期 | 2017-08-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | The market price-dividend ratio is highly correlated with several macroeconomic variables, particularly inflation and labor market variables, but not with aggregate consumption and GDP. We incorporate this observation in an exchange economy with learning about the economic regime from consumption history and a latent signal. The estimated model rationalizes the moments of consumption and dividend growth, market return, price-dividend ratio, and real and nominal term structures and the low predictive power of the price-dividend ratio for consumption and dividend growth while a nested model with learning from consumption history alone does not. The intuition is that the beliefs process has high persistence and low variance because beliefs depend on the signal. The model fit remains largely intact when we replace the latent signal with a combination of macroeconomic variables that heavily loads on inflation and labor market variables. The results highlight the informational role of macroeconomic variables and suggest that just one combination of macroeconomic variables, along with consumption, proxies well for investors’ relevant information set. |
| 主题 | Microeconomics ; Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23689 |
| 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/581362 |
| 推荐引用方式 GB/T 7714 | Anisha Ghosh,George M. Constantinides. What Information Drives Asset Prices?. 2017. |
| 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 | ||
| w23689.pdf（1000KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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