Fundamentals-dependent bubbles in stock prices
Article Abstract:
An analysis of market fundamentals-dependent bubbles is presented. The analysis applies to a continuous-time model of stock prices and dividends marked by stochastic growth. It is shown that bubble dynamics stabilize under fundamentals dependency and follow stochastically stable, saddlepoint stable or unstable conditions. In addition, these bubbles generate stock prices which are less volatile than fundamental prices.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 1992
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Stock prices and bond yields: can their comovements be explained in terms ofpresent value models?
Article Abstract:
An analysis of the relation between real stock prices and long-run interest rates is presented. The analysis is based on data from US covering 1871-1989 and also from the UK covering 1918-1989. It is shown that simple rational expectations present value models do not capture the relation presented. In addition, an inverse relationship can be established between realstock prices and interest rates.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 1992
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Stock price volatility and equity premium
Article Abstract:
Research developing a model of stock prices is presented, with the aim to illustrate volatility of stock prices and equity premiums resembling historical values. It is concluded that non-observability has the effect of increasing stock price volatility.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 2001
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