haku: @journal_id 4410 / yhteensä: 58
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| Tekijä: | Black, A. Fraser, P. Groenewold, N. |
| Otsikko: | Fundamental UK Stock Prices As Determined By the Macroeconomy |
| Lehti: | Journal of Asset Management
2003 : JUN, VOL. 4:1, p. 5-9 |
| Asiasana: | UNITED KINGDOM SHARE PRICES SHARE PRICES MODELS |
| Kieli: | eng |
| Tiivistelmä: | Most financial analysts and academic papers use the dividend-discount model or financial ratio analysis to estimate a fundamental stock price. This is less than ideal since dividends may be managed or smoothed over time and financial ratio analysis has little theoretical basis. This study uses a restricted vector-autoregressive model to derive a fundamental share price index that relates aggregate real share prices to real macroeconomic activity in the UK. The sample period covered is January 1974-December 2002. The analysis shows that actual (real) stock prices in the UK take long swings away from fundamental stock prices. It is noted that actual (real) stock prices fell below fundamental (real) stock prices in December 2002 for the first time since 1990. |
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