Stock Price Booms and Expected Capital Gains
Stock Price Booms and Expected Capital Gains
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股价上涨和预期资本收益
DOI：
10.2139/ssrn.2634053
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Johannes Beutel
中科院分区：
文献类型：
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作者：
Klaus Adam;A. Marcet;Johannes Beutel
投资者的主观资本收益预期是解释股票价格波动的一个关键因素。对这些预期的调查显示，在市场高峰（低谷）时过度乐观（悲观）。我们正式拒绝这与理性预期相容的假设。然后，我们将这些属性的主观价格信念与理性代理（内部理性）的标准资产定价模型。该模型产生了繁荣-萧条周期，暂时将股票价格与基本面脱钩，并定量复制了许多资产定价时刻。特别是，它与观察到的价格股息率和调查回报预期之间的强正相关性相匹配，而这是理性预期所不能匹配的。
Investors' subjective capital gains expectations are a key element explaining stock price fluctuations. Survey measures of these expectations display excessive optimism (pessimism) at market peaks (troughs). We formally reject the hypothesis that this is compatible with rational expectations. We then incorporate subjective price beliefs with such properties into a standard asset-pricing model with rational agents (internal rationality). The model gives rise to boom-bust cycles that temporarily delink stock prices from fundamentals and quantitatively replicates many asset-pricing moments. In particular, it matches the observed strong positive correlation between the price dividend ratio and survey return expectations, which cannot be matched by rational expectations.