Economics, Econometrics and Finance
4 years ago

Macroeconomic risk premium driving recent stock market run-up, study finds.

Fainansu
Stock Market Valuation : the Role of the Macroeconomic Risk Premium
C. Boucher

Paper Summary

Related papers

Economics, Econometrics and Finance
8 years ago

Stock market hit harder by downturns in business cycle, study finds.

Asset Pricing
Financial Volatility
Oil Price Shocks
1 view
Economics, Econometrics and Finance
4 years ago

Study reveals declining equity premium signals end of high returns era.

Asset Pricing
Option Pricing
Corporate Governance
1 view
Economics, Econometrics and Finance
4 years ago

New model predicts significant equity premium, challenging traditional market theories.

Asset Pricing
Monetary Models
Macroeconomic Analysis

The article examines how the stock market value is influenced by macroeconomic factors. By analyzing data since 1952, the researchers found that changes in the macroeconomic equity risk premium have played a significant role in driving up stock prices. They used a model that considers real interest rates, GDP volatility, price inflation, and institutional investor behavior to estimate the equity risk premium. The study suggests that fluctuations in these factors have a strong impact on stock market valuations over time.