Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 345-367 |
| Journal | International review of economics & finance |
| Volume | 12 |
| Issue number | 3 |
| Publication status | Published - 2003 |
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U.S. stock prices and macroeconomic fundamentals. / Black, A.; Fraser, P.; Groenewold, Nicolaas.
In: International review of economics & finance, Vol. 12, No. 3, 2003, p. 345-367.Research output: Contribution to journal › Article
TY - JOUR
T1 - U.S. stock prices and macroeconomic fundamentals
AU - Black, A.
AU - Fraser, P.
AU - Groenewold, Nicolaas
PY - 2003
Y1 - 2003
N2 - Using 54 years of US quarterly data and a VAR model underpinned by a theory of therelationship between stock prices and output, this paper considers the deviations ofUS stock prices from their fundamental value. To do this we derive the fundamentalprice-output ratio and the fundamental stock price under different assumptionsregarding the time-variability of returns, and proceed to compare these to actual data.Despite differences between model results, all imply cyclical deviations of actualvalues from values warranted by the expected growth in output - these deviationsbeing relatively large since 1996.
AB - Using 54 years of US quarterly data and a VAR model underpinned by a theory of therelationship between stock prices and output, this paper considers the deviations ofUS stock prices from their fundamental value. To do this we derive the fundamentalprice-output ratio and the fundamental stock price under different assumptionsregarding the time-variability of returns, and proceed to compare these to actual data.Despite differences between model results, all imply cyclical deviations of actualvalues from values warranted by the expected growth in output - these deviationsbeing relatively large since 1996.
M3 - Article
VL - 12
SP - 345
EP - 367
JO - International review of economics & finance
JF - International review of economics & finance
SN - 1059-0560
IS - 3
ER -