TY - JOUR
AU1 - Barsky, Robert, B.
AU2 - , De Long, J. Bradford
AB - Abstract 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. * We would like to thank George Bulkley, Martin Evans, James Hamilton, Bruce Lehmann, Gregory Mankiw, David Romer, Robert Shiller, Andrei Shleifer, Lawrence Summers, Robert Waldmann, many seminar participants, and referees of this Journal for helpful discussions and their very valuable comments. We also thank the NBER for financial support. This content is only available as a PDF. © 1993 by the President and Fellows of Harvard College and The Massachusetts Institute of Technology
TI - Why Does the Stock Market Fluctuate?
JF - The Quarterly Journal of Economics
DO - 10.2307/2118333
DA - 1993-05-01
UR - https://www.deepdyve.com/lp/oxford-university-press/why-does-the-stock-market-fluctuate-9Dvd4YDNgs
SP - 291
EP - 311
VL - 108
IS - 2
DP - DeepDyve
ER -