کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
966489 931031 2015 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Long-run bulls and bears
ترجمه فارسی عنوان
گاوها و خرس های بلند مدت
کلمات کلیدی
بازده بازار سهام،
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 76, Supplement, December 2015, Pages S21-S36
نویسندگان
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