Arbeitspapier
Factors affecting asset price expectations: Fundamentals and policy
This paper examines what factors move US and European stock and bond markets, extending earlier work by Campbell and Ammer (1993). Inflation news is incorporated into the stock and bond decomposition and explicit attention is given to different horizons over which expectations are formed.Sensitivities to monetary policy instruments and fundamental factors are examined. The data are monthly.For the euro area, a unique data set is constructed.The results illuminate a number of widely-held pre-conceptions and confirm that inflation news volatility is a non-trivial factor in the stock and bond return decompositions.
- ISBN
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951-686-727-8
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Discussion Papers ; No. 13/2001
- Classification
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Wirtschaft
- Subject
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stock prices
bond prices
return decompositions
fundamental factors
- Event
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Geistige Schöpfung
- (who)
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Valckx, Nico
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
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2001
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Valckx, Nico
- Bank of Finland
Time of origin
- 2001
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