How do stock prices respond to fundamental shocks?
نویسنده
چکیده
We estimate various SVAR models for the US in order to assess the importance of fundamental shocks in explaining stock price movements. The results show that models using real activity variables place more weight on fundamental shocks than models using dividends or earnings. However, according to all models fundamental shocks became substantially less important during the period 1982-2002 if compared to 1953-1982. JEL-Classification: E44; G12
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