1 option
Long-run Bulls and Bears / Rui Albuquerque, Martin Eichenbaum, Dimitris Papanikolaou, Sergio Rebelo.
- Format:
- Book
- Author/Creator:
- Albuquerque, Rui.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20858.
- NBER working paper series no. w20858
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2015.
- Summary:
- A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation between stock returns and fundamentals across bull and bear episodes. This correlation is much higher than the analogous time-series correlations. We show that several asset pricing models cannot simultaneously account for the low time-series and high episode correlations.
- Notes:
- Print version record
- January 2015.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.