3. The Grumpy Economist: The sources of stock market fluctuations

The Grumpy Economist: The sources of stock market fluctuations

This is an automatically generated TL;DR, original reduced by 88%.

100% of the variance of price dividend ratios corresponds to expected return shocks, and none to dividend growth shocks.

The variance of p/d is 100% risk premiums, 0% cashflow shocks Iterate forward the return identity, to get multiply by and take expectations But, so the dividend growth terms are all zero, and 100% of the variance of price-dividend ratios corresponds to time-varying expected returns.

The difference in valuation - higher prices for given set of dividends - can affect returns in a sample, as higher prices for a given set of dividends boost returns.

Extended Summary | FAQ | Theory | Feedback | Top five keywords: return#1 dividend#2 shock#3 price#4 expected#5

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