Replication data for: Stock Price Booms and Expected Capital Gains
Principal Investigator(s): View help for Principal Investigator(s) Klaus Adam; Albert Marcet; Johannes Beutel
Version: View help for Version V1
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| 20140205_data | 10/12/2019 02:04:AM | ||
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text/plain | 14.6 KB | 10/11/2019 10:04:PM |
Project Citation:
Adam, Klaus, Marcet, Albert, and Beutel, Johannes. Replication data for: Stock Price Booms and Expected Capital Gains. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E112977V1
Project Description
Summary:
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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.
Scope of Project
JEL Classification:
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D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
D84 Expectations; Speculations
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
D84 Expectations; Speculations
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
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