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
- Sprache
-
Englisch
- Erschienen in
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Series: Bank of Finland Discussion Papers ; No. 13/2001
- Klassifikation
-
Wirtschaft
- Thema
-
stock prices
bond prices
return decompositions
fundamental factors
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Valckx, Nico
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Valckx, Nico
- Bank of Finland
Entstanden
- 2001
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