Author: John Y. Campbell
Publisher:
ISBN:
Category : Dividends
Languages : en
Pages : 40

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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Mr.Charles Frederick Kramer
Publisher: International Monetary Fund
ISBN: 1451951981
Category : Business & Economics
Languages : en
Pages : 24

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Book Description
Can fundamentals account for the recent performance of the U.S. stock market? The price/earnings ratio is out of line with historical averages, and the dividend/price ratio has recently reached a historic low. These developments and record levels of inflows into mutual funds have led some to conclude that stock prices are above their fundamental levels. This paper assesses the recent rise in the stock market using a model for the equilibrium dividend/price ratio. While economic variables can account for most of the recent fall in the dividend/price ratio, mutual-fund inflows still have some marginal explanatory power.

Author: Samuel Eliot Guild
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 310

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Author: William Richard Nelson
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 54

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Author: Robert J. Shiller
Publisher: MIT Press
ISBN: 9780262691512
Category : Business & Economics
Languages : en
Pages : 486

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Book Description
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.

Author: Albert J. Fredman
Publisher:
ISBN:
Category : Corporations
Languages : en
Pages : 336

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Author: Bruce K. Billings
Publisher:
ISBN:
Category :
Languages : en
Pages : 32

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We investigate (1) whether investors' earnings expectations include dividend information that is incremental to information in earnings components and (2) whether investors correctly weight the incremental information reflected in dividends. We find that both dividends and dividend changes are related to future earnings after controlling for earnings-component information, and that the market's earnings-expectation model reflects the incremental dividend information. However, we find that stock prices act as if investors overweight the incremental information in dividends and dividend changes in forming earnings expectations. Consequently, we find predictable future stock returns related to dividends and dividend changes after controlling for the relation between future returns and earnings components.

Author: John C. Clendenin
Publisher:
ISBN:
Category : Corporations
Languages : en
Pages : 66

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Author: Owen A. Lamont
Publisher:
ISBN:
Category :
Languages : en
Pages : 49

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The aggregate dividend payout ratio forecasts aggregate excess returns on both stocks and corporate bonds in post-war US data. Both high corporate profits and high stock prices forecast low excess returns on equities. When the payout ratio is high, expected returns are high. The payout ratio's correlation with business conditions gives it predictive power for returns; it contains information about future stock and bond returns that is not captured by other variables. The payout ratio is useful because it captures the temporary components of earnings. The dynamic relationship between dividends, earnings and stock prices shows that a positive innovation in earnings lowers expected returns in the near future, but raises them thereafter.