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Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?
Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10003727414
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Does Money Illusion Delude Investors?
Heo, Yuna - 2019
This study investigates the role of money illusion in a broad set of anomaly-based strategies. To the extent that anomalies reflect mispricing, I examine whether money illusion predicts anomaly returns. I find that, following periods of high inflation, anomalies are stronger and returns in short...
Persistent link: https://www.econbiz.de/10012890592
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Endogenous Asymmetric Money Illusion
Duarte, Diogo - 2019
We show that when investors suffer from endogenous asymmetric money illusion, the usual proportionality between money supply and nominal prices commonly present in frictionless economies is eliminated. This drives changes in the money supply to cause real price fluctuations. Nevertheless, the...
Persistent link: https://www.econbiz.de/10012899606
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Explaining Asset Mispricing Using the Resale Option and Inflation Illusion
Hayunga, Darren K. - 2010
We investigate the overconfidence theory and inflation-illusion hypothesis of asset mispricing. Both concepts address subjective asset valuation but place the impetus on differing explanations within the standard dividend-growth model. We find that one of the theoretical outcomes of...
Persistent link: https://www.econbiz.de/10013146535
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Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically
Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015
Macroeconomic models that are based on either the rational expectations hypothesis (REH) or behavioral considerations share a core premise: all future market outcomes can be characterized ex ante with a single overarching probability distribution. This paper assesses the empirical relevance of...
Persistent link: https://www.econbiz.de/10011279656
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Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...
Persistent link: https://www.econbiz.de/10011301214
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Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically
Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015
Macroeconomic models that are based on either the rational expectations hypothesis (REH) or behavioral considerations share a core premise: All future market outcomes can be characterized ex ante with a single overarching probability distribution. This paper assesses the empirical relevance of...
Persistent link: https://www.econbiz.de/10011309720
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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors
Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132
We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts...
Persistent link: https://www.econbiz.de/10011555939
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The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper, the authors consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical...
Persistent link: https://www.econbiz.de/10011745419
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Compensation schemes, liquidity provision, and asset prices : an experimental analysis
Baghestanian, Sascha; Gortner, Paul; Massenot, Baptiste - 2015
schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a … liquidity provision to force traders to trade at a lower price. By contrast, bonus caps make traders value the asset less than … investors. This should encourage liquidity provision and decrease prices. In contrast to these predictions, we find that under …
Persistent link: https://www.econbiz.de/10010530580