Poterba and summers 1988

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August undefined, 2024

WebPoterba and Summers (1988) analyzed real (as distinct from excess) returns excluding dividends and computed from monthly averages of stock prices as reported by the … WebIn a related literature, a number of studies have found evidence of mean reversion in returns on stock portfolios at horizons of three to five years or longer (Poterba and Summers 1988; Fama and French 1988). This implies that a long period of below-average stock returns increases the likelihood of a period of above-average returns in the future.

What Moves the Stock and Bond Markets? A Variance Decomposition for …

WebLawrence Henry Summers (d. 30 Kasım 1954; New Haven, Connecticut), 1999'dan 2001'e kadar Amerika Birleşik Devletleri hazine bakanı ve 2009'dan 2010'a kadar Ulusal Ekonomi Konseyi'nin direktörü olarak görev yapan Amerikalı ekonomist ve siyasetçi.Ayrıca 2001'den 2006'ya kadar Harvard Üniversitesi'nin başkanı olarak görev yaptı.. Summers, 1983'te … WebJames M. Poterba & Lawrence H. Summers Working Paper 2343 DOI 10.3386/w2343 Issue Date August 1987 This paper analyzes the statistical evidence bearing on whether … mondial relay strasbourg point relais

NBER WORKING PAPER SERIES DYNAMICS AND THE …

WebThe following model, used in Fama and French (1988) and Cutler, Poterba, and Summers (1991), can capture both the traditional model and the idea of fads: (1) (2) where pt is the log of the stock market price in period t, pt * is the non-stationary component of the log price, and εt is white noise. Under the traditional model, log prices are a ... Web16 Jun 2004 · Poterba, James M. and Poterba, James M. and Summers, Lawrence H., Mean Reversion in Stock Prices: Evidence and Implications (August 1987). NBER Working Paper … WebPoterba and Summers (1991), and report results on the serial depen dence of returns on stock prices and the relationship between short term interest rates and return … ic 30-5-5-3

How investor sentiments spillover from developed countries to ...

Characterizing Predictable Components in Excess Returns on …

Webtion through a framework relating the real This paper presents a model for the and financial decisions, the most ambianalysis of the joint effects of taxation on tious are those of Brimmer and Sinai the real and financial decisions of the firm. (1976), and of Sinai et al. (1982). In these The model is composed of three recursive studies, the integration of the … WebPoterba and Summers (1988) yet retains the rationality of Fama and French (1988). In the rational speculative bubbles model, investors realize that prices exceed fundamental … ic 30-5-9-9WebJames Poterba ( [email protected]) and Lawrence Summers Journal of Financial Economics, 1988, vol. 22, issue 1, 27-59 Date: 1988 References: Add references at CitEc … ic 31-17-2.2-1

"Webon the autocorrelation function of returns (Conrad and Kaul 1988, Fama and French 1988a, Lo and MacKinlay 1988, Poterba and Summers 1988). But as we discuss below, it is possible for ex O3 returns to be driven largely by changing expectations of future returns, even if the autocorrelations of returns are all zero or very close to zero. Thus " - Poterba and summers 1988

Poterba and summers 1988

NBER WORKING PAPER SERIES MEAN REVERSION IN …

WebDeBondt and Thaler (1985, 1987), DeLong, Shleifer, Summers, and Waldmann (1989), Lehmann (1988), Poterba and Summers (1988), and Shefrin and Statman (1985)]. Although such a hypothesis does imply predictability, since what goes down must come up and vice versa, a well-articulated equilibrium theory of overreaction with sharp Web1 Nov 2003 · We implement a panelbased test that exploits cross-sectional information from seventeen emerging equity markets during the period January 1985 to April 2002. The …

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WebIssue Date March 1988. This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news. First, we consider macroeconomic … Web3Poterba and Summers (1988) present evidence on the low power of regression tests and variance ratio tests of serial dependence in returns. Both of these tests can be expressed …

Web12See Cochrane (1988), Lo and MacKinlay (1988) and Poterba and Summers (1988) for discussions of variance ratios. Characterizing Predictable Components in Excess Returns 475 currency denominated rates of return to foreign investors in the U.S. equity market. As noted above in Section I, these excess rates of returns are just WebPoterba, James M. and Lawrence H. Summers. "The Economic Effects of Dividend Taxation." Recent Advances in Corporate Finance, edited by Edward Altman and Marti Subrahmanyam, pp. 227-284. Homewood, IL: Richard D. Irwin Publishers, 1985. Topics Financial Economics

WebŽ. Ž. Ž.1988 , Poterba and Summers 1988 , and Kim et al. 1991 find that the mean reversion evidence is extremely sensitive to the inclusion of 1930s and 1940s data in estimation. Our regression approach can be contrasted with the simulation approach typically used to test explanations of the mean reversion evidence. For instance, WebThird, Poterba and Summers (1988) show that for specifica-tions of the equity risk process which are consistent with empirical findings on volatility, increases in risk which raise …

WebJames M. Poterba Lawrence H. Summers Working Paper No. 1353 NATIONAi BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 May 19814 This paper was prepared for the NYU Conference on Recent Advances in Corporate Finance, November 1983. We wish to thank Ignacio Mas for research assistance and Fischer Black, …

WebJames M. Poterba Lawrence H. Summers Working Paper No. 1353 NATIONAi BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 May 19814 … mondial relay tarievenhttp://fmwww.bc.edu/repec/mmfc05/paper64.pdf ic 30-5-5-4.5Web16 Jun 2004 · See all articles by James M. Poterba James M. Poterba. Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER) ... Poterba, James M. and Poterba, James M. and Summers, Lawrence H., Mean Reversion in Stock Prices: Evidence and Implications (August 1987). NBER Working … ic30ridrhWebJames M. Poterba & Lawrence H. Summers. Working Paper 1353. DOI 10.3386/w1353. Issue Date May 1984. This paper tests several competing hypotheses about the economic … mondial relay talmont saint hilaireWeb1988, Poterba and Summers 1988 and Baxter 1994). The theoretical model, which largely follows that of Malliaropulos (1998), predicts a negative relationship. The fourth contribution, which is the primal objective of this paper, is to investigate the determinants of the dynamic link between the two series. ... ic3210sWebCutler, Poterba, and Summers (1991) showed that stock prices experience some of their largest one-day moves. Jegadeesh and Titman (1993) observed a unique trend in prices of individual stocks held for more ... 2000), De Bondt and Thaler (1985) research showed that investors overreact, Poterba and Summers (1988) concluded analogous reversals for ... ic 30-5-5-4WebPoterba and Summers (1988) observe that the failure to distinguish between low-frequency mean reversion and complete unpredictability of returns lies in the power of the tests … ic305 chiller