Investor Rationality and House Price Bubbles: Berlin and the German Reunification

✍ Scribed by Oliver Holtemöller; Rainer Schulz

• Book ID: 111062371
• Publisher: John Wiley and Sons
• Year: 2010
• Tongue: English
• Weight: 332 KB
• Volume: 11
• Category: Article
• ISSN: 1465-6485
• DOI: 10.1111/j.1468-0475.2009.00494.x

✦ Synopsis

Abstract

Temporary fluctuations of the US consumption-wealth ratio do not only predict excess returns on the US but also international stock markets at the business cycle frequency. This finding is the reflection of a common, temporary component in national stock markets. Exposure to this common component explains up to 50% of the pairwise covariation among long-horizon returns on the G7 stock markets for the time period from 1970 to 2008. This latter finding is less pronounced in the post-1990s period.