WHY DOES THE STOCK-MARKET FLUCTUATE
WHY DOES THE STOCK-MARKET FLUCTUATE
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DOI：
10.2307/2118333
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发表时间：
1993-05-01
影响因子：
13.7
通讯作者：
DELONG, JB
中科院分区：
文献类型：
--
作者：
BARSKY, RB;DELONG, JB
美国经济的主要长期波动。S.过去世纪的股票市场与当前和预期未来股息变化驱动的模型大致一致，其中投资者必须估计随时间变化的长期股息增长率。这种估计的长期增长率类似于过去股息增长的长期分布滞后，并且与股息水平高度相关。因此，价格对股息的长期变动的反应超过了比例。股息增长的时变成分不需要在股息数据中检测到，因为它对股票价格有很大的影响。
Major long-run swings in the U. S. stock market over the past century are broadly consistent with a model driven by changes in current and expected future dividends in which investors must estimate the time-varying long-run dividend growth rate. Such an estimated long-run growth rate resembles a long distributed lag on past dividend growth, and is highly correlated with the level of dividends. Prices therefore respond more than proportionately to long-run movements in dividends. The time-varying component of dividend growth need not be detectable in the dividend data for it to have large effects on stock prices.