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Une décomposition du cycle boursier

Author

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  • Edouard Challe

    (Université de Cambridge - CAM - University of Cambridge [UK])

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.

Suggested Citation

  • Edouard Challe, 2004. "Une décomposition du cycle boursier," Post-Print halshs-00151481, HAL.
    • Handle: RePEc:hal:journl:halshs-00151481
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    Cited by:

    1. Jean-Francois VERNE, 2011. "L’Amplitude Du Cycle Economique Et De L’Ecart De Production Au Liban," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 34, pages 181-201.

    More about this item

    Keywords

    Volatilité boursière; séries temporelles;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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