Une décomposition du cycle boursier

Edouard Challe

Revue économique, 2004, vol. 55, issue 3, 395-405

Abstract: In this paper, the present-value model is used to decompose the forecastable component of stock prices into the share of the cycle due to forecastable dividend growth on the one hand, and that due to time-varying discount rates on the other. The decomposition is then applied to the analysis of the forecastable component of uk stock prices over the post-World War I period. Although dividends are found to be significantly cyclical, it is showed that they play a negligible role in the forecastability of stock-price movements, virtually all of which being explained by volatile expectations about future returns. Classification JEL : C32, D84, G12

JEL-codes: C32 D84 G12 (search for similar items in EconPapers)
Date: 2004
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