Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/82092 
Year of Publication: 
2003
Series/Report no.: 
EPRU Working Paper Series No. 2003-11
Publisher: 
University of Copenhagen, Economic Policy Research Unit (EPRU), Copenhagen
Abstract: 
This paper develops a macro-model of share prices that predicts that the growth rates in real share prices and real dividends gravitate toward predictable constants in the long run, but fluctuate on approximately decennial frequencies due to movements in capital’s share in total income and the output-capital ratio. The model has important implications for medium-term and long-run movements in real share prices and dividends, required share returns, the effects of new technologies on share returns, share price valuation, and whether shares are less risky in the long run than in the short run. Using macroeconomic data over 130 years for 22 OECD countries, the data give support for the model.
Subjects: 
share prices and dividends in the long run
share valuation
required share returns
macroeconomic factors
JEL: 
E44
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
200.05 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.