Otago University Research Archive
US stock prices and macroeconomic fundamentals
Otago University Research Archive
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| dc.contributor.author | Black, Angela | en_NZ |
| dc.contributor.author | Fraser, Patricia | en_NZ |
| dc.contributor.author | Groenewold, Nicolaas | en_NZ |
| dc.date.copyright | 2001-11-30 | en_NZ |
| dc.identifier.citation | Black, A., Fraser, P., & Groenewold, N. (2001, November 30). US stock prices and macroeconomic fundamentals. University of Otago Department of Finance Seminar Series. Presented at the University of Otago, Finance department, Seminar. | en |
| dc.identifier.uri | http://hdl.handle.net/10523/1539 | |
| dc.description.abstract | Using 54 years of US quarterly data and a VAR model underpinned by a theory of the relationship between stock prices and output, this paper considers the deviations of US stock prices from their fundamental value. To do this we derive the fundamental price-output ratio and the fundamental stock price under different assumptions regarding the time-variability of returns, and proceed to compare these to actual data. Despite differences between model results, all imply cyclical deviations of actual values from values warranted by the expected growth in output - these deviations being relatively large since 1996. | en_NZ |
| dc.format.mimetype | application/pdf | |
| dc.relation.ispartof | University of Otago Department of Finance Seminar Series | en_NZ |
| dc.relation.uri | http://www.business.otago.ac.nz/finc/research/seminars_01.html | en_NZ |
| dc.subject | VAR model | en_NZ |
| dc.subject | stock prices | en_NZ |
| dc.subject | fundamental price-output ratio | en_NZ |
| dc.subject | actual values | en_NZ |
| dc.subject.lcsh | HF Commerce | en_NZ |
| dc.subject.lcsh | HF5601 Accounting | en_NZ |
| dc.subject.lcsh | HG Finance | en_NZ |
| dc.title | US stock prices and macroeconomic fundamentals | en_NZ |
| dc.type | Conference or Workshop Item (Seminar, Speech or Other Presentation) | en_NZ |
| dc.description.version | Unpublished | en_NZ |
| otago.bitstream.pages | 40 | en_NZ |
| otago.date.accession | 2007-04-12 | en_NZ |
| otago.school | Finance | en_NZ |
| otago.openaccess | Open | |
| otago.place.publication | Dunedin, New Zealand | en_NZ |
| dc.identifier.eprints | 598 | en_NZ |
| dc.description.refereed | Non Peer Reviewed | en_NZ |
| otago.school.eprints | Finance & Quantitative Analysis | en_NZ |
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A General Equilibrium Approach to Monetary Theory, Journal of Money, Credit and Banking 1: 15-29. | en_NZ |
| otago.event.dates | 30 November 2001 | en_NZ |
| otago.event.place | Room 2.07, University of Otago, Dunedin, Otago | en_NZ |
| otago.event.type | other | en_NZ |
| otago.event.title | University of Otago, Finance department, Seminar | en_NZ |
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