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Demography and the Long-run Predictability of the Stock Market

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Author Info
John Geanakoplos () (Cowles Fdn, Yale University)
Michael Magill (Univ of Southern California)
Martine Quinzii (UCLA, Davis)

Additional information is available for the following registered author(s):

Abstract

This paper was begun during a visit at the Cowles Foundation in Fall 2000 and revised during a visit in Fall 2002: Michael Magill and Martine Quinzii are grateful for the stimulating environment and the research support provided by the Cowles Foundation. We are also grateful to Bob Shiller for helpful discussions, and to participants at the Cowles Conference on Incomplete Markets at Yale University, the SITE Workshop at Stanford University, the Incomplete Markets Workshop at SUNY Stony Brook during the summer 2001, the Southwest Economic Conference at UCLA, and the Conference for the Advancement of Economic Theory at Rhodes in 2003 for helpful comments. Many thanks to Bill Brainard whose numerous insightful questions and comments greatly improved the final version of the paper. Unfortunately the authors are solely responsible for the remaining weaknesses.

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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1380R.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 55 pages
Date of creation: Aug 2002
Date of revision: Jul 2004
Publication status: Published in Brookings Papers on Economic Activity, 1, 2004
Handle: RePEc:cwl:cwldpp:1380r

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Related research
Keywords: Demography Price earnings ratio Returns Efficient markets Baby-boom Savings

Other versions of this item:

Find related papers by JEL classification:
E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends and Forecasts

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Mankiw, N. Gregory & Weil, David N., 1989. "The baby boom, the baby bust, and the housing market," Regional Science and Urban Economics, Elsevier, vol. 19(2), pages 235-258, May. [Downloadable!] (restricted)
    Other versions:
  2. George M. Constantinides & John B. Donaldson & Rajnish Mehra, . "Junior Can't borrow: A New Perspective on the Equity Premium Puzzle."," CRSP working papers 457, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    Other versions:
  3. Modigliani, Franco, 1988. "The Role of Intergenerational Transfers and Life Cycle Saving in the Accumulation of Wealth," Journal of Economic Perspectives, American Economic Association, vol. 2(2), pages 15-40, Spring. [Downloadable!] (restricted)
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  5. Andrew B. Abel, 2001. "Will Bequests Attenuate The Predicted Meltdown In Stock Prices When Baby Boomers Retire?," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 589-595, November. [Downloadable!] (restricted)
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  6. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers 8221, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Welch, Finis, 1979. "Effects of Cohort Size on Earnings: The Baby Boom Babies' Financial Bust," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages S65-97, October. [Downloadable!] (restricted)
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  12. Finis Welch, 1979. "Effects of Cohort Size on Earnings: The Baby Boom Babies' Financial Bust," UCLA Economics Working Papers 146, UCLA Department of Economics. [Downloadable!]
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  14. Modigliani, Franco, 1986. "Life Cycle, Individual Thrift, and the Wealth of Nations," American Economic Review, American Economic Association, vol. 76(3), pages 297-313, June. [Downloadable!] (restricted)
  15. Monika BÜTLER & Philipp HARMS, 2001. "Old folks and spoiled brats : Why the baby boomers' saving crisis need not be that bad," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 01.07, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
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  16. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August. [Downloadable!] (restricted)
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  19. Bakshi, Gurdip S & Chen, Zhiwu, 1994. "Baby Boom, Population Aging, and Capital Markets," Journal of Business, University of Chicago Press, vol. 67(2), pages 165-202, April. [Downloadable!] (restricted)
  20. John Heaton & Deborah Lucas, 2000. "Stock prices and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Apr. [Downloadable!]
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  23. Robin Brooks, 2002. "Asset-Market Effects of the Baby Boom and Social-Security Reform," American Economic Review, American Economic Association, vol. 92(2), pages 402-406, May. [Downloadable!]
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2005. "Junior is Rich: Bequests as Consumption," NBER Working Papers 11122, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Saarenheimo , Tuomas, 2005. "Ageing, interest rates, and financial flows," Research Discussion Papers 2/2005, Bank of Finland. [Downloadable!]
  3. Alessandro Citanna & Paolo Siconolfi, 2008. "On the nonexistence of recursive equilibrium in stochastic OLG economies," Economic Theory, Springer, vol. 37(3), pages 417-437, December. [Downloadable!] (restricted)
  4. Robert F. Martin, 2005. "The baby boom: predictability in house prices and interest rates," International Finance Discussion Papers 847, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  5. James Poterba & Steven Venti & David A. Wise, 2007. "The Decline of Defined Benefit Retirement Plans and Asset Flows," NBER Working Papers 12834, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Junjian Miao & Manuel Santos, 2005. "Numerical Solution of Dynamic Non-Optimal Economies," Boston University - Department of Economics - Working Papers Series WP2005-003, Boston University - Department of Economics. [Downloadable!]
    Other versions:
  7. Wolfgang Kuhle, 2008. "Demography and Equity Premium," MEA discussion paper series 08157, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
  8. Marianna Brunetti, 2007. "Population ageing, household portfolios and financial asset returns: A survey of the literature," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07051, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
  9. Orazio Attanasio & Sagiri Kitao & Giovanni L. Violante, 2006. "Quantifying the Effects of the Demographic Transition in Developing Economies," Advances in Macroeconomics, Berkeley Electronic Press, vol. 6(1), pages 1298-1298. [Downloadable!] (restricted)
  10. John Geanakoplos, 2008. "Overlapping Generations Models of General Equilibrium," Levine's Bibliography 122247000000002225, UCLA Department of Economics. [Downloadable!]
  11. John Geanakoplos, 2008. "Overlapping Generations Models of General Equilibrium," Cowles Foundation Discussion Papers 1663, Cowles Foundation, Yale University. [Downloadable!]
  12. Rajnish Mehra & Edwarad C Prescott & Facundo Piguillem, 2007. "Intermediated Quantities and Returns," Levine's Bibliography 122247000000001580, UCLA Department of Economics. [Downloadable!]
    Other versions:
  13. Stefano DellaVigna & Joshua M. Pollet, 2005. "Attention, Demographics, and the Stock Market," NBER Working Papers 11211, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Espen Henriksen & Steve Spear, 2006. "Dynamic Suboptimality of Competitive Equilibrium in Multiperiod Overlapping Generations Economies," Computing in Economics and Finance 2006 223, Society for Computational Economics. [Downloadable!]
    Other versions:
  15. James Poterba, 2004. "The Impact of Population Aging on Financial Markets," NBER Working Papers 10851, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Brito, Paulo & Dilao, Rui, 2006. "Equilibrium price dynamics in an overlapping-generations exchange economy," MPRA Paper 699, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  17. Stefan W. Schmitz, 2005. "Demographic Developments, Funded Pension Provision and Financial Stability," Finance 0510023, EconWPA. [Downloadable!]
    Other versions:
  18. Tuomas Saarenheimo, 2005. "Ageing, interest rates, and financial flows," Labor and Demography 0508015, EconWPA. [Downloadable!]
  19. Susan A. McDaniel, 2003. "Toward Disentangling Policy Implications of Economic and Demographic Changes in Canada's Aging Population," Canadian Public Policy, University of Toronto Press, vol. 29(4), pages 491-509, December. [Downloadable!] (restricted)
  20. Olivia S. Mitchell & John Piggott & Michael Sherris & Shaun Yow, 2006. "Financial Innovation for an Aging World," NBER Working Papers 12444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  21. Yoshida, Jiro, 2007. "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium," MPRA Paper 6271, University Library of Munich, Germany, revised 05 Mar 2008. [Downloadable!]
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