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Bubbles and fads in the stock market: another look at the experience of the US

✍ Scribed by Piergiorgio Alessandri

Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
143 KB
Volume
11
Category
Article
ISSN
1076-9307

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✦ Synopsis

This paper considers a standard present-value equity price formula where the discount factor is driven by the real return on short-term public debt. We discuss a state-space formulation by which prices can be decomposed into fundamental and non-fundamental components. The model is estimated on annual US data. The stochastic discount factor explains part of the volatility in equity values, but it is not sufficient per se to exclude the occurrence of near-exponential bubbles in the price-dividend ratio. These disappear if the dividend is replaced by a broader measure of the income flow generated by the firms.

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