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Replication data for: Stock Price Booms and Expected Capital Gains

Version
1
Resource Type
Dataset
Creator
  • Adam, Klaus
  • Marcet, Albert
  • Beutel, Johannes
Publication Date
2017-08-01
Description
  • Abstract

    Investors' subjective capital gains expectations are a key element explaining stock price fluctuations. Survey measures of these expectations display excessive optimism (pessimism) at market peaks (troughs). We formally reject the hypothesis that this is compatible with rational expectations. We then incorporate subjective price beliefs with such properties into a standard asset-pricing model with rational agents (internal rationality). The model gives rise to boom-bust cycles that temporarily delink stock prices from fundamentals and quantitatively replicates many asset-pricing moments. In particular, it matches the observed strong positive correlation between the price dividend ratio and survey return expectations, which cannot be matched by rational expectations.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.20140205 (Text)
Publications
  • Adam, Klaus, Albert Marcet, and Johannes Beutel. “Stock Price Booms and Expected Capital Gains.” American Economic Review 107, no. 8 (August 2017): 2352–2408. https://doi.org/10.1257/aer.20140205.
    • ID: 10.1257/aer.20140205 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Adam, Klaus; Marcet, Albert; Beutel, Johannes (2017): Replication data for: Stock Price Booms and Expected Capital Gains. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112977V1