Abstract

http://ssrn.com/abstract=471491
 
 

Citations (40)



 


 



Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?


Robert J. Shiller


Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance

Andrea Beltratti


Bocconi University - Department of Finance

October 1990

NBER Working Paper No. w3464

Abstract:     
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector autoregression. This overreaction is not associated with any overreaction to changes in the short-run inflation rate. Over the last century real stock prices have shown little reaction to changes in inflation rates, and according to the model they should show little reaction. These conclusions were reached from an analysis of annual data in the united states 1871 to 1989 and the united Kingdom 1918 to 1989.

Number of Pages in PDF File: 34

working papers series


Download This Paper

Date posted: November 13, 2007  

Suggested Citation

Shiller, Robert J. and Beltratti , Andrea, Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? (October 1990). NBER Working Paper No. w3464. Available at SSRN: http://ssrn.com/abstract=471491

Contact Information

Robert J. Shiller (Contact Author)
Yale University - Cowles Foundation ( email )
Box 208281
New Haven, CT 06520-8281
United States
203-432-3708 (Phone)
203-432-6167 (Fax)
HOME PAGE: http://www.econ.yale.edu/~shiller/
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
203-432-3708 (Phone)
Yale University - International Center for Finance ( email )
Box 208200
New Haven, CT 06520
United States
203-432-3708 (Phone)
203-432-6167 (Fax)
Andrea Beltratti
Bocconi University - Department of Finance ( email )
Via Roentgen 1
Milano, MI 20136
Italy
Feedback to SSRN


Paper statistics
Abstract Views: 691
Downloads: 38
Citations:  40

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.282 seconds