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Por favor, use este identificador para citar o enlazar a este item: http://hdl.handle.net/10261/165771

Stock Price Booms and Expected Capital Gains

AutorAdam, Klaus; Marcet, Albert ; Beutel, Johannes
Fecha de publicaciónago-2017
EditorAmerican Economic Association
CitaciónAmerican Economic Review 107(8): 2352-2408 (2017)
ResumenInvestors' subjective capital gains expectations are a key element explaining stock price fluctuations. Survey measures of these expectations display excessive optimism (pessimism) at market peaks (troughs). We formally reject the hypothesis that this is compatible with rational expectations. We then incorporate subjective price beliefs with such properties into a standard asset-pricing model with rational agents (internal rationality). The model gives rise to boom-bust cycles that temporarily delink stock prices from fundamentals and quantitatively replicates many asset-pricing moments. In particular, it matches the observed strong positive correlation between the price dividend ratio and survey return expectations, which cannot be matched by rational expectations.
DescripciónThis paper replaces an earlier paper titled “Booms and Busts in Asset Prices” (Adam and Marcet 2010).
Versión del editorhttp://dx.doi.org/10.1257/aer.20140205
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