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| Tekijä: | Bansal, R. Khatchatrian, V. Yaron, A. |
| Otsikko: | Interpretable asset markets? |
| Lehti: | European Economic Review
2005 : APR, VOL. 49:3, p. 531-560 |
| Asiasana: | Financial markets Assets Uncertainty Growth Models Germany United Kingdom Japan USA |
| Kieli: | eng |
| Tiivistelmä: | The paper shows that measures of economic uncertainty (hereafter as: econ-unc.) predict and are predicted by valuation ratios at long horizons. Further, it is documented that asset valuations drop as econ-unc. rises, that is, financial markets dislike econ-unc. Moreover, future earnings growth rates are sharply predicted by current price-earnings ratios. It seems that much of the variation in asset prices can be attributed to fluctuations in econ-unc. and expected cash-flow growth. This empirical evidence is consistent with the implications of existing parametric general equilibrium models. |
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