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Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
Research Notes No. 01-3
Verlag: 
Deutsche Bank Research, Frankfurt a. M.
Zusammenfassung: 
A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are driven by fundamentals or by non-fundamental factors. In this paper we put forward the hypothesis that a present value model with time-varying expected returns provides an empirically valid description of US stock price behavior in the long-run, while short-run deviations of actual share prices from present value prices are driven by nonfundamental factors like speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000:12 period provide strong and robust support for the hypothesis that in the short-run US stock prices exhibit nonfundamental run-ups followed by crashes, while in the long-run US share prices adhere to fundamentals.
Schlagwörter: 
Present Value Model
US Stock Prices
Asymmetric Adjustment
Cointegration
JEL: 
G12
E44
C32
Dokumentart: 
Working Paper
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