Interpretable Asset Markets?
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises that is, financial markets dislike economic uncertainty. Moreover, future earnings growth rates are sharply predicted by current price-earnings ratios. It seems that much of the variation in asset prices can be attributed to fluctuations in economic uncertainty and expected cash-flow growth. This empirical evidence is consistent with the implications of existing parametric general equilibrium models. Hence, the channels of fluctuating economic uncertainty and expected growth seem important for interpreting asset markets
Year of publication: |
[2010]
|
---|---|
Authors: | Bansal, Ravi |
Other Persons: | Khatchatrian, Varoujan (contributor) ; Yaron, Amir (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Privater Konsum | Private consumption | Finanzmarkt | Financial market |
Saved in:
freely available
Extent: | 1 Online-Ressource (40 p) |
---|---|
Series: | NBER Working Paper ; No. w9383 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2002 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012762886