Demography and the Long-run Predictability of the Stock Market

John Geanakoplos (), Michael Magill and Martine Quinzii
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John Geanakoplos: Cowles Fdn, Yale University, https://economics.yale.edu/people/faculty/john-geanakoplos

No 1380, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Stock market price/earnings ratios should be influenced by demography. Since demography is predictable, stock returns should be as well. We provide a simple stochastic OLG model with a cyclical structure that generates cyclical P/E ratios. We calibrate the model to roughly fit the cyclical features of historical P/E ratios.

Keywords: Demography; Price earnings ratio; Returns; Efficient markets; Baby-boom; Savings (search for similar items in EconPapers)
JEL-codes: E21 E32 E43 E44 G12 J11 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2002-08
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: CFP 1099
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in Brookings Papers on Economic Activity, 1, 2004

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Journal Article: Demography and the Long-Run Predictability of the Stock Market (2004)
Working Paper: Demography and the Long-run Predictability of the Stock Market (2004)
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