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Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
Open accessAbstract
An ex-post rational real common stock price series, formed as the present value of subpequent detrended real diY~dend~, ~~~ound to be a very stable and smooth series when compared with the actual detrended real stock price series.An efficient markets model which makes price the optimal forecast of the ex-post rational price is inconsistent with this data if the long-run trend of real dividends is assumed given.To reconcile the data with the efficient markets model, one must assume that the market expected real dividends deviate from their long-run trend much more than they did historically.
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Cited by
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Does the Stock Market Overreact?
De BONDT, W. F. M., & THALER, R. (1985) · The Journal of Finance · doi:10.1111/j.1540-6261.1985.tb05004.x · Cited by 7,578
Investor Sentiment and the Cross‐Section of Stock Returns
BAKER, M., & WURGLER, J. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00885.x · Cited by 6,049
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Metadata
- Authors
- Shiller, R.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1980-02
- OpenAlex
- W1484799109
- Cited by
- 3,986
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
