The Good News and the Bad News about Long-run Stock Market ReturnsReportar como inadecuado


The Good News and the Bad News about Long-run Stock Market Returns


The Good News and the Bad News about Long-run Stock Market Returns - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Publication Date: 2004-06-16

Publisher: Faculty of Economics

Language: en_GB

Type: Working Paper

Metadata: Show full item record

Citation: Robertson, D., & Wright, S. M. (2004). The Good News and the Bad News about Long-run Stock Market Returns. https://doi.org/10.17863/CAM.5034

Abstract: If stock prices followed a random walk, uncertainty about future stock prices would be so great that the observed bias towards equities in long-term investment portfolios would be surprising. The good news is that if, as a growing body of research suggests, there is even a weak tendency for stationary valuation indicators to predict future stock prices, long-run returns can become markedly more predictable. This is illustrated in a cointegrating VAR, with Tobin?s q as one of the cointegrating relations. The bad news is a corollary of the good news: q and most other indicators point to massive at the end of 1997, and hence the prospect of weak stock prices well into the next century.

Keywords: Classification-JEL: C32, C52, E44, G10, G14, Stock prices, Random walk, Cointegration, Vector autoregressions, Tobin's q, Efficiency

Identifiers:

This record's DOI: https://doi.org/10.17863/CAM.5034

This record's URL: http://www.dspace.cam.ac.uk/handle/1810/412https://www.repository.cam.ac.uk/handle/1810/412







Autor: Robertson, DonaldWright, Stephen M.

Fuente: https://www.repository.cam.ac.uk/handle/1810/412



DESCARGAR PDF




Documentos relacionados