Campbell, John Y., Giglio, Stefano and Polk, Christopher (2011) Hard times. AFA 2012 Chicago Meetings Paper. SSRN.
Full text not available from this repository.Abstract
We show that the stock market downturns of 2000-2002 and 2007-2009 have very different proximate causes. The early 2000’s saw a large increase in the discount rates applied to profits by rational investors, while the late 2000’s saw a decrease in rational expectations of future profits. We reach these conclusions using a VAR model of aggregate stock returns and valuations, estimated both freely and imposing the cross-sectional restrictions of the ICAPM. Our findings imply that the 2007-2009 downturn was particularly serious for rational long-term investors, whose losses were not offset by improving stock return forecasts as in the previous recession.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Official URL: | http://papers.ssrn.com/sol3/JELJOUR_Results.cfm?fo... |
| Additional Information: | © 2011 The authors |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates N - Economic History > N2 - Financial Markets and Institutions > N22 - U.S.; Canada: 1913- |
| Date Deposited: | 16 Apr 2012 11:09 |
| Last Modified: | 13 Sep 2024 20:19 |
| URI: | http://eprints.lse.ac.uk/id/eprint/43097 |
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