How Do Stock Prices Respond to Fundamental Shocks?

We estimate various SVAR models for the US in order to assess the importance of fundamental shocks in explaining stock price movements. The results show that models using real activity variables place more weight on fundamental shocks than models using dividends or earnings. However, according to all models fundamental shocks became substantially less important during the period 1982-2002 if compared to 1953-1982

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Year of publication:	[2004]
Authors:	Binswanger, Mathias
Publisher:	[2004]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Other identifiers:	10.2139/ssrn.498323 [DOI]
Classification:	E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012738588