Long-run Bulls and Bears
Rui Albuquerque, Martin Eichenbaum, Dimitris Papanikolaou, Sergio Rebelo
A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation between stock returns and fundamentals across bull and bear episodes. This correlation is much higher than the analogous time-series correlations. We show that several asset pricing models cannot simultaneously account for the low time-series and high episode correlations
Year of publication: |
January 2015
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Authors: | Albuquerque, Rui |
Other Persons: | Papanikolaou, Dimitris (contributor) ; Eichenbaum, Martin (contributor) ; Rebelo, Sergio (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
Cambridge, Mass : National Bureau of Economic Research |
Subject: | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Lange Wellen | Long waves | OECD-Staaten | OECD countries | Kapitalmarktrendite | Capital market returns | Konjunktur | Business cycle | Kapitalmarkttheorie | Financial economics |
Saved in:
freely available
Extent: | 1 Online-Ressource |
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Series: | NBER working paper series ; no. w20858 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers. |
Other identifiers: | 10.3386/w20858 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012457808