Why Does the Stock Market Fluctuate?
Robert Barsky and
J. Bradford De Long
Authors registered in the RePEc Author Service: James Bradford DeLong ()
No 3995, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were uncertain of the structure of the economy. and had to make forecasts of unknown and possibly-changing long-run dividend growth rates. The parameters of the stochastic process followed by dividends over the twentieth century cannot be precisely estimated even today at the century's end. Investors in the past had even less information about the dividend process. In such a context, it is difficult to see how investors can be faulted for implicitly forecasting future dividends by extrapolating past dividend growth.
Date: 1992-02
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
Published as Quarterly Journal of Economics, Vol. 108, no. 2 (1993): 291-311.
Downloads: (external link)
http://www.nber.org/papers/w3995.pdf (application/pdf)
Related works:
Journal Article: Why Does the Stock Market Fluctuate? (1993) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:3995
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w3995
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().