U.S. stock prices and macroeconomic fundamentals

A. Black, P. Fraser, Nicolaas Groenewold

Research output: Contribution to journalArticle

12 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)345-367
JournalInternational review of economics & finance
Volume12
Issue number3
Publication statusPublished - 2003

Fingerprint

Stock prices
Macroeconomic fundamentals
Deviation
Fundamental values
VAR model

Cite this

@article{16b9e34cb318448497c832d8df56a161,
title = "U.S. stock prices and macroeconomic fundamentals",
abstract = "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.",
author = "A. Black and P. Fraser and Nicolaas Groenewold",
year = "2003",
language = "English",
volume = "12",
pages = "345--367",
journal = "International review of economics & finance",
issn = "1059-0560",
publisher = "Elsevier",
number = "3",

}

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 journalArticle

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 -