Permanent, Temporary, and Non-Fundamental Components of Stock Prices
Permanent, Temporary, and Non-Fundamental Components of Stock Prices
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股票价格的永久、临时和非基本面组成部分
DOI：
10.2307/2331376
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发表时间：
1998
影响因子：
3.9
通讯作者：
Bong‐Soo Lee
中科院分区：
文献类型：
--
作者：
Bong‐Soo Lee
本文识别了股票价格的各个组成部分，并考察了股价对不同类型冲击的反应：收益和股息的永久性和暂时性变化，贴现因素的变化，以及非基本面因素。分析是在对数线性结构VAR框架下进行的。我发现，价格每年变化的大约一半与收益或股息变化无关。时变的利率无助于解释剩余的价格变动。然而，时间变化的超额股票回报(即风险溢价)占了股票价格剩余变化的很大一部分，特别是在战后时期。因此，股价对这些基本面的偏离减少到股价变动的10%左右，并往往会持续一段时间，最终才会下跌。这一发现似乎更符合时尚而不是泡沫的解释。
Abstract This paper identifies various components of stock prices and examines the response of stock prices to different types of shocks: permanent and temporary changes in earnings and dividends, changes in discount factors, and non-fundamental factors. The analysis is conducted in a log-linear structural VAR framework. I find that about half of the yearly variation in prices is not related to either earnings or dividend changes. Time-varying interest rates do not help explain the remaining price movements. However, time-varying excess stock returns (i.e., risk premiums) account for much of the remaining variation in stock prices, in particular, in the postwar period. As a result, the deviation of stock prices from these fundamentals reduces to about 10% of stock price movements and tends to persist for a while before it declines eventually. This finding seems more compatible with a fad rather than a bubble interpretation.
影响因子：
8.2
作者：
Campbell, John Y.;Shiller, Robert J.
通讯作者：
Shiller, Robert J.