What Ties Return Volatilities to Price Valuations and Fundamentals?

• 成果类型: Article
• 署名作者: David, Alexander; Veronesi, Pietro
• 署名单位: University of Calgary; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/671799
• 发表日期: 2013
• 页码: 682-746
• 关键词: CONSUMPTION-BASED EXPLANATION; long-run; interest-rates; term structure; STOCK; MODEL; RISK; inflation; MARKETS; expectations

摘要

Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, in both magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic and inflation regimes. We estimate our model using both fundamentals and asset prices and find that inflation news signal either positive or negative future real economic growth depending on the times, thereby affecting the direction of stock-bond comovement. The learning dynamics generate strong nonlinearities between volatilities and price valuations. We find empirical support for numerous predictions of the model.