Similar Search Results

Measuring Bubble Expectations and Investor Confidence

Shiller, Robert J. - 1999

This paper presents evidence on attitude changes among investors in the US stock market. Two basic attitudes are explored: bubble expectations and investor confidence. Semiannual time-series indicators of these attitudes are presented for US stock market institutional investors based on...

Persistent link: https://www.econbiz.de/10012471792

Stock Prices and Bond Yields : Can Their Comovements Be Explained in Terms of Present Value Models?

Shiller, Robert J. - 1990

Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...

Persistent link: https://www.econbiz.de/10012475563

Yield Spreads and Interest Rate Movements : A Bird's Eye View

Campbell, John Y. - 1989

The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter … the longer-term bond tends to fall, contrary to the expectations theory; at the same time, the shorter-term interest rate … tends to rise, just as the expectations theory requires. We discuss several possible interpretations of these findings. We …

Persistent link: https://www.econbiz.de/10012475890

Testing the Random Walk Hypothesis : Power versus Frequency of Observation

Shiller, Robert J. - 1985

Persistent link: https://www.econbiz.de/10012477489

Alternative Prior Representations of Smoothness for Distributed Lag Estimation

Shiller, Robert J. - 1975

In some applications of the distributed lag model, theory requires that all lag coefficients have a positive sign. A …

Persistent link: https://www.econbiz.de/10012479037

Interpreting Cointegrated Models

Campbell, John Y. - 1988

Error-correction models for cointegrated economic variables are commonly interpreted as reflecting partial adjustment of one variable to another. We show that error-correction models may also arise because one variable forecasts another. Reduced-form estimates of error-correction models cannot...

Persistent link: https://www.econbiz.de/10012476500

Forecasting Prices and Excess Returns in the Housing Market

Case, Karl E. - 1990

The U. S. market for homes appears not to be efficient. A number of information variables predict housing price changes and excess returns of housing relative to debt over the succeeding year. Price changes observed over one year tend to continue for one more year in the same direction....

Persistent link: https://www.econbiz.de/10012475665

Designing Indexed Units of Account

Shiller, Robert J. - 1999

An indexed unit of account is a unit of measurement defined using an index such as a consumer price index so that prices defined in terms of these units will automatically adjust to changing economic conditions. Evidence on sticky prices and money illusion, and evidence from countries (notably...

Persistent link: https://www.econbiz.de/10012471627

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

Campbell, John Y. - 1986

A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector...

Persistent link: https://www.econbiz.de/10012476969

Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190