Stock Market Volatility and Learning

被引：147

作者：

Adam, Klaus ^{[1
,2
]}

Marcet, Albert ^{[2
,3
]}

Nicolini, Juan Pablo ^{[4
,5
]}

机构：

[1] Univ Mannheim, Mannheim, Germany

[2] CEPR, Washington, DC USA

[3] UAB, Barcelona GSE, MOVE,ICREA, Inst Anal Econ CSIC, Birmingham, AL USA

[4] Univ Di Tella, Buenos Aires, DF, Argentina

[5] Fed Reserve Bank Minneapolis, Minneapolis, MN USA

来源：

JOURNAL OF FINANCE | 2016年 / 71卷 / 01期

基金：

欧洲研究理事会;

关键词：

EXCESS VOLATILITY; ASSET; RISK; PREDICTABILITY; RETURNS; BELIEFS; BUBBLES; PREMIUM; PRICES; MODELS;

D O I：

10.1111/jofi.12364

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that consumption-based asset pricing models with time-separable preferences generate realistic amounts of stock price volatility if one allows for small deviations from rational expectations. Rational investors with subjective beliefs about price behavior optimally learn from past price observations. This imparts momentum and mean reversion into stock prices. The model quantitatively accounts for the volatility of returns, the volatility and persistence of the price-dividend ratio, and the predictability of long-horizon returns. It passes a formal statistical test for the overall fit of a set of moments provided one excludes the equity premium.

引用

页码：33 / 82

页数：50

共 37 条

[1] Learning and equilibrium selection in a monetary overlapping generations model with sticky prices [J].