Une décomposition du cycle boursier

Edouard Challe

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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 foundto 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.

Keywords: Volatilité boursière; séries temporelles (search for similar items in EconPapers)
Date: 2004-05-01
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Published in Revue Economique, 2004, 55(3), pp.395-406

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Journal Article: Une décomposition du cycle boursier (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00151481

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