Stock Prices and Fundamentals in a Production Economy
Stock Prices and Fundamentals in a Production Economy
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生产经济中的股票价格和基本面
DOI：
10.2139/ssrn.220030
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发表时间：
2000
期刊：
影响因子：
--
通讯作者：
Michael T. Kiley
中科院分区：
文献类型：
--
作者：
Michael T. Kiley
本文比较了戈登增长模型和动态一般均衡生产模型对企业市场价值的预测。不同的模型对企业市场价值变动的预测在数量上和质量上都有所不同，而市场价值变动是对要求回报率下降或经济增长率上升的反应。虽然以前的研究已经说明了所需回报的下降或经济增长率的上升如何解释戈登增长模型中20世纪90年代股票价值的上升，但对生产的考虑推翻了这些结果，并说明了基本面的这种变化的辅助影响，例如经济投资强度的急剧增加，在20世纪90年代末的数据中没有得到支持。理论和数据之间的这种紧张关系表明，20世纪90年代后半期公司市值的飙升可能反映了一定程度的非理性繁荣。
This paper compares the predictions for the market value of firms from the Gordon growth model with those from a dynamic general equilibrium model of production. The predictions for movements in the market value of firms in response to a decline in the required return or an increase in the growth rate of the economy are quantitatively and qualitatively different across the models. While previous research has illustrated how a drop in the required return or an increase in the growth rate of the economy can explain the runup in equity values in the 1990s in the Gordon growth model, the consideration of production overturns these results and illustrates that auxiliary implications of such shifts in fundamentals, such as a sharp increase in the investment intensity of the economy, are not supported by the data in the late 1990s. This tension between theory and data suggests that the skyrocketing market value of firms in the second half of the 1990s may reflect a degree of irrational exuberance.