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Full-Text Articles in Social and Behavioral Sciences
Demography And The Long-Run Predictability Of The Stock Market, John Geanakoplos, Michael Magill, Martine Quinzii
Demography And The Long-Run Predictability Of The Stock Market, John Geanakoplos, Michael Magill, Martine Quinzii
Cowles Foundation Discussion Papers
Stock market price/earnings ratios should be influenced by demography. Since demography is predictable, stock returns should be as well. We provide a simple stochastic OLG model with a cyclical structure that generates cyclical P/E ratios. We calibrate the model to roughly fit the cyclical features of historical P/E ratios.
Demography And The Long-Run Predictability Of The Stock Market, John Geanakoplos, Michael Magill, Martine Quinzii
Demography And The Long-Run Predictability Of The Stock Market, John Geanakoplos, Michael Magill, Martine Quinzii
Cowles Foundation Discussion Papers
This paper was begun during a visit at the Cowles Foundation in Fall 2000 and revised during a visit in Fall 2002: Michael Magill and Martine Quinzii are grateful for the stimulating environment and the research support provided by the Cowles Foundation. We are also grateful to Bob Shiller for helpful discussions, and to participants at the Cowles Conference on Incomplete Markets at Yale University, the SITE Workshop at Stanford University, the Incomplete Markets Workshop at SUNY Stony Brook during the summer 2001, the Southwest Economic Conference at UCLA, and the Conference for the Advancement of Economic Theory at Rhodes …