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http://hdl.handle.net/10261/165771
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Campo DC | Valor | Lengua/Idioma |
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dc.contributor.author | Adam, Klaus | es_ES |
dc.contributor.author | Marcet, Albert | es_ES |
dc.contributor.author | Beutel, Johannes | es_ES |
dc.date.accessioned | 2018-06-06T09:43:59Z | - |
dc.date.available | 2018-06-06T09:43:59Z | - |
dc.date.issued | 2017-08 | - |
dc.identifier.citation | American Economic Review 107(8): 2352-2408 (2017) | es_ES |
dc.identifier.issn | 0002-8282 | - |
dc.identifier.uri | http://hdl.handle.net/10261/165771 | - |
dc.description | This paper replaces an earlier paper titled “Booms and Busts in Asset Prices” (Adam and Marcet 2010). | es_ES |
dc.description.abstract | Investors' 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. | es_ES |
dc.description.sponsorship | Albert Marcet acknowledges support from Programa de Excelencia del Banco de España, the Severo Ochoa Programme for Centres of Excellence in R&D (SEV-2015-0563), Plan Nacional (Ministry of Education), SGR (Generalitat de Catalunya). Klaus Adam and Albert Marcet acknowledge support from the European Research Council under the EU 7th Framework Programme (FP/2007–2013), Starting Grant Agreement 284262 (Adam), and Advanced Grant Agreement 324048 (Marcet). Klaus Adam and Albert Marcet thank Fondation Banque de France for its support on this project. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | American Economic Association | es_ES |
dc.relation | info:eu-repo/grantAgreement/EC/FP7/284262 | es_ES |
dc.relation | info:eu-repo/grantAgreement/MINECO/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/SEV-2015-0563 | es_ES |
dc.relation.isversionof | Publisher's version | es_ES |
dc.rights | openAccess | es_ES |
dc.title | Stock Price Booms and Expected Capital Gains | es_ES |
dc.type | artículo | es_ES |
dc.identifier.doi | 10.1257/aer.20140205 | - |
dc.description.peerreviewed | Peer reviewed | es_ES |
dc.relation.publisherversion | http://dx.doi.org/10.1257/aer.20140205 | es_ES |
dc.contributor.funder | Banco de España | es_ES |
dc.contributor.funder | Ministerio de Economía y Competitividad (España) | es_ES |
dc.contributor.funder | Generalitat de Catalunya | es_ES |
dc.contributor.funder | European Research Council | es_ES |
dc.contributor.funder | Fondation Banque de France | es_ES |
dc.relation.csic | Sí | es_ES |
oprm.item.hasRevision | no ko 0 false | * |
dc.identifier.funder | http://dx.doi.org/10.13039/501100003329 | es_ES |
dc.identifier.funder | http://dx.doi.org/10.13039/501100002809 | es_ES |
dc.identifier.funder | http://dx.doi.org/10.13039/501100000781 | es_ES |
dc.identifier.funder | http://dx.doi.org/10.13039/501100010430 | es_ES |
dc.identifier.funder | http://dx.doi.org/10.13039/501100010340 | es_ES |
dc.type.coar | http://purl.org/coar/resource_type/c_6501 | es_ES |
item.openairetype | artículo | - |
item.cerifentitytype | Publications | - |
item.languageiso639-1 | en | - |
item.grantfulltext | open | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.fulltext | With Fulltext | - |
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stock_booms_Adam.pdf | 1,11 MB | Adobe PDF | Visualizar/Abrir |
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