Liquidity Shocks and Asset Prices

Pablo Guerron, Ryo Jinnai () and 了 陣内

No HIAS-E-17, Discussion paper series from Hitotsubashi Institute for Advanced Study, Hitotsubashi University

Abstract: In models of liquidity, stock market booms tend to follow adverse liquidity shocks. This result is clearly at odds with the data. We demonstrate that allowing for endogenous productivity corrects this puzzling price dynamics. Negative growth prospects decrease equity prices because of a long-run predictable component in dividend growth.

Keywords: liquidity; asset prices; endogenous growth; long-run risk (search for similar items in EconPapers)
Pages: 18 pages
Date: 2015-12-01
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/27617/070_hiasDP-E-17.pdf

Related works:
Journal Article: On Liquidity Shocks and Asset Prices (2022)
Working Paper: On Liquidity Shocks and Asset Prices (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hiasdp:hias-e-17

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