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A Stocks, Bonds, Consumers Leading Indicator
Breeden, Douglas T. - 2015
investment returns. Previous research has shown that stock prices and the slope of the term structure of interest rates reflect …
Persistent link: https://www.econbiz.de/10013032922
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Do bubbles lead to overinvestment? : a revealed preference approach
Chirinko, Robert S.; Schaller, Huntley - 2011
firms in making their investment decisions. We use a revealed preference approach that relies on the pattern of investment … spending - combined with investment theory - to estimate the discount rates used by managers. The standard story predicts that … firms with high stock prices and good investment opportunities should have discount rates that do not differ systematically …
Persistent link: https://www.econbiz.de/10009153871
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Fundamentals, misvaluation, and investment : the real story
Chirinko, Robert S.; Schaller, Huntley - 2006
Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We … introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama … misvaluation into standard investment equations to estimate the quantitative effect of misvaluation on investment. Overall, the …
Persistent link: https://www.econbiz.de/10009736657
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Fundamentals, misvaluation, and investment : the real story
Chirinko, Robert S.; Schaller, Huntley - 2006
Persistent link: https://www.econbiz.de/10003425629
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Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises
Punzi, Maria Teresa - 2016
We empirically analyze asset price boom-bust cycles over a long-run period of 1896-2014 for the U.S., the Netherlands, Norway and Sweden. We focus on macro-financial linkages to understand if these are common phenomena during financial crises, or if the linkage was simply amplified during the...
Persistent link: https://www.econbiz.de/10011446571
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Limited Stock Market Participation Among Renters and Home Owners
Vestman, Roine - 2018
The stock market participation rate among homeowners is twice as high as among renters. This paper builds a life-cycle portfolio choice model with endogenous housing tenure choice. A stylized form of preference heterogeneity generates a substantial difference in participation rates. A majority...
Persistent link: https://www.econbiz.de/10012940650
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Limited Stock Market Participation Among Renters and Home Owners
Vestman, Roine - 2017
Home owners are about twice as likely as renters to participate in the stock market, both in the USA and Sweden. This paper sets up a life-cycle portfolio choice model which generates this pattern of limited stock market participation. Calibrated to Swedish data, the model generates the stock...
Persistent link: https://www.econbiz.de/10012975201
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Stock Market Wealth and the Real Economy : A Local Labor Market Approach
Chodorow-Reich, Gabriel - 2020
We provide evidence of the stock market wealth effect on consumption by using a local labor market analysis and regional heterogeneity in stock market wealth. An increase in local stock wealth driven by aggregate stock prices increases local employment and payroll in nontradable industries and...
Persistent link: https://www.econbiz.de/10012848885
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Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations
Avdjiev, Stefan - 2013
What are the main drivers of fluctuations in the aggregate US stock market? In this paper, we attempt to resolve the long-lasting debate surrounding this question by designing and solving a consumption-based asset pricing model which incorporates stochastic volatility, long-run risks in...
Persistent link: https://www.econbiz.de/10013094186
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A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles
Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 599-635
We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock that drives the movements of...
Persistent link: https://www.econbiz.de/10011757753