What Information Drives Asset Prices?

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-05-15 DOI:10.1093/rapstu/raab012

Anisha Ghosh, George M Constantinides

引用次数: 0

Abstract

We contribute to identifying proxies for the information set of investors in financial markets. We show that the marketwide price-dividend ratio highly correlates with inflation and labor market variables that also forecast consumption, dividend, and GDP growth, but not with aggregate consumption or GDP growth. Our model with learning from inflation and wage earnings rationalizes the moments of consumption and dividend growth, market return, the price-dividend ratio, real and nominal term structures, the low predictive power of the price-dividend ratio for consumption and dividends, and the dynamics of the price-dividend ratio, unlike a nested model with learning from consumption alone. (JEL E3, G12, G14)

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什么信息驱动资产价格?

我们致力于识别金融市场中投资者信息集的代理。我们表明，市场价格股息比与通货膨胀和劳动力市场变量高度相关，这些变量也预测消费、股息和GDP增长，但与总消费或GDP增长无关。我们的模型从通货膨胀和工资收入中学习，使消费和股息增长时刻、市场回报、价格-股息比、实际和名义期限结构、价格-股息比对消费和股息的低预测能力以及价格-股息比的动态合理化，而不是仅仅从消费中学习的嵌套模型。(3、12、14节)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.