Stock Price Booms and Expected Capital Gains

• 成果类型: Article
• 署名作者: Adam, Klaus; Marcet, Albert; Beutel, Johannes
• 署名单位: University of Mannheim; Centre for Economic Policy Research - UK; Autonomous University of Barcelona; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Barcelona School of Economics; ICREA; Centre for Economic Policy Research - UK; Deutsche Bundesbank
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20140205
• 发表日期: 2017
• 页码: 2352-2408
• 关键词: EXCESS VOLATILITY; long-run; bubbles; expectations; RISK; MODEL; predictability; equilibrium; DEPRESSION; economies

摘要

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. (JEL D83, D84, G12, G14)