The Determinants Of The Variability Of Stock Market Prices PDF Download
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Author | : Sanford J. Grossman |
Publisher | : |
Total Pages | : 9 |
Release | : 1980 |
Genre | : Stock price forecasting |
ISBN | : |
Download The Determinants of the Variability of Stock Market Prices Book in PDF, ePub and Kindle
The most familiar interpretation for the large and unpredictable swings that characterize common stock price indices is that price changes represent the efficient discounting of "new information" It is remarkable given the popularity of this interpretation that it has never been established what this information is about. Recent work by Shiller, and Stephen LeRoy and Richard Porter, has shown evidence that the variability of stock price indices cannot be accounted for by information regarding future dividends since dividends just do not seem to vary enough to justify the price movement. These studies assume a constant discount factor. In this paper, we consider whether the variability of stock prices can be attributed to information regarding discount factors (i.e., real interest rates), which are in turn related to current and future levels of economic activity. The appropriate discount factor to be applied to dividends which are received k years from today is the marginal rate of substitution between consumption today and consumption k periods from today, We use historical data on per capita consumption from 1890-1979 to estimate the realized value of these marginal rates of substitution. Theoretically, as LeRoy and C. J. La Civita have also noted independently of us, consumption variability may induce stock price variability whose magnitude depends on the degree of risk aversion
Author | : Sanford J. Grossman |
Publisher | : |
Total Pages | : 9 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download The Determinants of the Variability of Stock Market Prices Book in PDF, ePub and Kindle
The most familiar interpretation for the large and unpredictable swings that characterize common stock price indices is that price changes represent the efficient discounting of quot;new informationquot; It is remarkable given the popularity of this interpretation that it has never been established what this information is about. Recent work by Shiller, and Stephen LeRoy and Richard Porter, has shown evidence that the variability of stock price indices cannot be accounted for by information regarding future dividends since dividends just do not seem to vary enough to justify the price movement. These studies assume a constant discount factor. In this paper, we consider whether the variability of stock prices can be attributed to information regarding discount factors (i.e., real interest rates), which are in turn related to current and future levels of economic activity. The appropriate discount factor to be applied to dividends which are received k years from today is the marginal rate of substitution between consumption today and consumption k periods from today, We use historical data on per capita consumption from 1890-1979 to estimate the realized value of these marginal rates of substitution. Theoretically, as LeRoy and C. J. La Civita have also noted independently of us, consumption variability may induce stock price variability whose magnitude depends on the degree of risk aversion.
Author | : Walter Arthur Rennison |
Publisher | : |
Total Pages | : 90 |
Release | : 1965 |
Genre | : |
ISBN | : |
Download An Analysis of the Determinants of Corporate Stock Price Variability Book in PDF, ePub and Kindle
Author | : Robert A. Haugen |
Publisher | : |
Total Pages | : 164 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : |
Download The Inefficient Stock Market Book in PDF, ePub and Kindle
Sparked with wry wit and humor that is sure to capture and sustain the interest of students, this clever and insightful text provides clear and undeniable evidence that the stock market is, in the author's view, inefficient - and that important aspects of market behavior can not be explained by models based on rational economic behavior.
Author | : Martin Jay Gruber |
Publisher | : |
Total Pages | : 96 |
Release | : 1971 |
Genre | : Corporations |
ISBN | : |
Download The Determinants of Common Stock Prices Book in PDF, ePub and Kindle
Author | : John J. Binder |
Publisher | : |
Total Pages | : 36 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Stock Market Volatility and Economic Factors Book in PDF, ePub and Kindle
This paper examines the ability of rational economic factors to explain stock market volatility. A simple model of the economy under uncertainty identifies four determinants of stock market volatility: uncertainty about the price level, the riskless rate of interest, the risk premium on equity and the ratio of expected profits to expected revenues in the economy. In initial tests these variables have significant explanatory power and account for over 50 percent of the variation in market volatility from 1929 to 1989. When the regression coefficients are allowed to vary over time using the Spath cluster regression, the four factors explain over 90 percent of the variation in market volatility. The results are useful in explaining the past behavior of stock market volatility and in forecasting future volatility.
Author | : Robert Keith Zimmer |
Publisher | : |
Total Pages | : 436 |
Release | : 1964 |
Genre | : Stock price forecasting |
ISBN | : |
Download An Empirical Analysis of Stock Market Price Determinants Book in PDF, ePub and Kindle
Author | : Richard R. West |
Publisher | : New York : Praeger |
Total Pages | : 240 |
Release | : 1971 |
Genre | : Business & Economics |
ISBN | : |
Download The Economics of the Stock Market Book in PDF, ePub and Kindle
Author | : Richard A. Brealey |
Publisher | : MIT Press (MA) |
Total Pages | : 168 |
Release | : 1969 |
Genre | : Investment analysis |
ISBN | : |
Download An Introduction to Risk and Return from Common Stocks Book in PDF, ePub and Kindle
Author | : John H. Cochrane |
Publisher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1933019158 |
Download Financial Markets and the Real Economy Book in PDF, ePub and Kindle
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.