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Valuation Ratios and the Long-run Stock Market Outlook: An Update
Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2001
The use of price-earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...
Persistent link: https://www.econbiz.de/10005762739
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Chapter 19 Asset prices, consumption, and the business cycle
Campbell, John Y. - In: Handbook of macroeconomics : volume 1, part C, (pp. 1231-1303). 1999
This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...
Persistent link: https://www.econbiz.de/10014024221
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Hard Times
Campbell, John Y. - 2011
We show that the stock market downturns of 2000-2002 and 2007-2009 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to profits by rational investors, while the late 2000's saw a decrease in rational expectations of future profits. We reach...
Persistent link: https://www.econbiz.de/10013128421
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Hard Times
Campbell, John Y. - 2012
We show that the stock market downturns of 2000-2002 and 2007-2009 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to profits by rational investors, while the late 2000's saw a decrease in rational expectations of future profits. We reach...
Persistent link: https://www.econbiz.de/10013100773
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Global Currency Hedging
Campbell, John Y.; Viceira, Luis M.; Medeiros, Karine … - National Bureau of Economic Research (NBER) - 2007
Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity...
Persistent link: https://www.econbiz.de/10005828911
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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
Campbell, John Y.; Polk, Christopher; Vuolteenaho, Tuomo - National Bureau of Economic Research (NBER) - 2005
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by … movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in … aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market …
Persistent link: https://www.econbiz.de/10005777986
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Bad Beta, Good Beta
Campbell, John Y.; Vuolteenaho, Tuomo - National Bureau of Economic Research (NBER) - 2003
find that value stocks and small stocks have considerably higher cash-flow betas than growth stocks and large stocks, and … growth stocks and high-past-beta stocks have predominantly good betas with low risk prices. …
Persistent link: https://www.econbiz.de/10005580421
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Inflation Illusion and Stock Prices
Campbell, John Y.; Vuolteenaho, Tuomo - National Bureau of Economic Research (NBER) - 2004
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...
Persistent link: https://www.econbiz.de/10005718084
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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
Campbell, John Y. - 2006
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by … movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in … aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market …
Persistent link: https://www.econbiz.de/10012735173
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Bad Beta, Good Beta
Campbell, John Y. - 2003
;goodquot; varieties. Empirically, we find that value stocks and small stocks have considerably higher cash-flow betas than growth stocks … and large stocks, and this can explain their higher average returns. The poor performance of the CAPMsince 1963 is … explained by the fact that growth stocks and high-past-beta stocks have predominantly good betas with low risk prices …
Persistent link: https://www.econbiz.de/10012740310