Long-run bulls and bears

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Eichenbaum, Martin; Papanikolaou, Dimitris; Rebelo, Sergio
• 署名单位: Boston University; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.09.010
• 发表日期: 2015
• 页码: S21-S36
• 关键词: Stock market returns

摘要

A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation between stock returns and fundamentals across bull and bear episodes. This correlation is much higher than the analogous time-series correlations. We show that several asset pricing models cannot simultaneously account for the low time-series and high episode correlations. (C) 2015 Elsevier B.V. All rights reserved.