La grande modération et la valorisation des actions

Christophe Boucher () and Armand Derhy
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Christophe Boucher: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, A.A.Advisors-QCG - ABN AMRO

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The Great Moderation and Stock Valuation Using quarterly data since 1953, we estimate a fundamental-based empirical model for the US real stock prices and earning-price ratio. Applying the VECM methodology instead of traditional VAR to explain low frequency movements of stock valuation, we identify the determinants of the long run equity risk premium based on multivariate cointegration tests. Several determinants of the equity premium are tested in the longterm specification. Our results suggest that the "great moderation" of the GDP volatility and the level price inflation has driven much of the recent run-up in the US stock prices.

Keywords: Procédure de Johansen; ratios de valorisation; prime de risque; modèle de la valeur actuelle; cours boursiers; Johansen Procedure; Valuation Ratios; Equity Risk Premium; Present Value Model; Stock Prices (search for similar items in EconPapers)
Date: 2008
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Published in Revue d'économie politique, 2008, 118 (5), pp.683-709

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00649156

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