Demography and the Long-Run Predictability of the Stock Market
Yale University - Cowles Foundation
Michael J. P. Magill
University of Southern California - Department of Economics
University of California, Davis - Department of Economics
USC CLEO Research Paper No. C02-21; Cowles Foundation Discussion Paper No. 1380
Stock market price/earnings ratios should be influenced by demography. Since demography is predictable, stock returns should be as well. We provide a simple stochastic OLG model with a cyclical structure which generates cyclical P/E ratios. We calibrate the model to roughly fit the cyclical features of historical P/E ratios.
Number of Pages in PDF File: 33
Keywords: Demography, Price Earnings Ratio, Returns, Efficient Markets, Baby-boom, Savings
JEL Classification: E21, E32, E43, E44, G12, J11working papers series
Date posted: September 24, 2002
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo1 in 0.547 seconds