Social and Behavioral Sciences Commons^™

What Moves Stock Markets? Evidence That Uk Stock Prices Deviate From Fundamentals, David E. Allen, Wenling Yang

Research outputs pre 2011

This article examines the deviation of the UK market index from market fundamentals implied by the simple dividend discount model and identifies other components that also affect price movements. The components are classified as permanent, temporary, excess stock returns and nonfundamental innovations in terms of a multivariate moving average model (Lee (1998)). We find that time varying discounted rates play an active role in explaining price deviations.