| Titre | Changements structurels de la prime de risque et évaluation des marchés d'actions | |
|---|---|---|
| Auteur | Jean-Paul Nicolaï, Ch. Duval-Kieffer, Catherine Bruneau | |
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Revue | Economie et prévision |
| Numéro | no 140-141, 1999/4-5 Economie des marché financiers | |
| Rubrique / Thématique | Économie des marchés financiers |
|
| Page | 63-76 | |
| Résumé anglais |
Changes in Structural Risk Premiums and Assessment of Stock Markets by Catherine Bruneau, Ch. Duval-Kieffer and Jean-Paul Nicola'i
In this paper, we estimate a fundamental value of the S&P index, which we use as a long-run target in an error-correction modelling of the dynamics of the subsequent returns. The Gordon-Shapiro-based Present Value Model suggests two fundamentals: dividends and a discount rate factor, specified as a risk-free rate plus an ex-ante risk premium, modelled as successive structural breaks at predetermined dates assumed to affect agents' expectations. These breaks are introduced into the cointégration relationship as dummies to ensure the stationarity of the equilibrium deviation variable and the significance of the error correction term. Consequently, the prices observed only move temporarily away from their fundamental value. We use Monte-Carlo simulations to compute the relevant critical values for the stationarity tests. The dates of the breaks over the study period are then related to changes in the stock pricing process. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1999_num_140_4_5975 |
