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Demography and the Long Run Behavior of the Stock Market

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  • John Geanakoplos
  • Michael Magill
  • Martine Quinzii

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Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 506439000000000269.

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Date of creation: 06 Feb 2003
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Handle: RePEc:cla:levarc:506439000000000269

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References

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  1. Gian Maria Milesi-Ferretti, & Philip R. Lane, 2003. "International Financial Integration," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp03, IIIS.
  2. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, American Economic Association, vol. 81(2), pages 222-26, May.
  3. Andrew B. Abel, 2001. "Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?," NBER Working Papers 8131, National Bureau of Economic Research, Inc.
  4. Steven A. Sass & Robert K. Triest, 1997. "Social Security: how social and secure should it be?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, vol. 41(Jun), pages 29-63.
  5. Andrew B. Abel, 2003. "The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security," Econometrica, Econometric Society, Econometric Society, vol. 71(2), pages 551-578, March.
  6. John Heaton & Deborah Lucas, 2000. "Stock prices and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Apr.
  7. James M. Poterba, 2001. "Demographic Structure And Asset Returns," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 565-584, November.
  8. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  9. Easterlin, Richard A., 1987. "Birth and Fortune," University of Chicago Press Economics Books, University of Chicago Press, edition 1, number 9780226180328.
  10. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2002. "Junior Can'T Borrow: A New Perspective On The Equity Premium Puzzle," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 117(1), pages 269-296, February.
  11. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  12. Andrew Ang & Angela Maddaloni, 2003. "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," NBER Working Papers 9677, National Bureau of Economic Research, Inc.
  13. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1295, Cowles Foundation for Research in Economics, Yale University.
  14. Basu, Parantap, 1987. "An Adjustment Cost Model of Asset Pricing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 609-21, October.
  15. Monika BÜTLER & Philipp HARMS, 2001. "Old folks and spoiled brats : Why the baby boomers' saving crisis need not be that bad," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP), Université de Lausanne, Faculté des HEC, DEEP 01.07, Université de Lausanne, Faculté des HEC, DEEP.
  16. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(4), pages 467-492, August.
  17. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
  18. Finis Welch, 1979. "Effects of Cohort Size on Earnings: The Baby Boom Babies' Financial Bust," UCLA Economics Working Papers, UCLA Department of Economics 146, UCLA Department of Economics.
  19. Modigliani, Franco, 1985. "Life Cycle, Individual Thrift and the Wealth of Nations," Nobel Prize in Economics documents, Nobel Prize Committee 1985-1, Nobel Prize Committee.
  20. Robin Brooks, 2002. "Asset-Market Effects of the Baby Boom and Social-Security Reform," American Economic Review, American Economic Association, American Economic Association, vol. 92(2), pages 402-406, May.
  21. Modigliani, Franco, 1988. "The Role of Intergenerational Transfers and Life Cycle Saving in the Accumulation of Wealth," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 2(2), pages 15-40, Spring.
  22. Welch, Finis, 1979. "Effects of Cohort Size on Earnings: The Baby Boom Babies' Financial Bust," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 87(5), pages S65-97, October.
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Cited by:
  1. Takáts, Előd, 2012. "Aging and house prices," Journal of Housing Economics, Elsevier, Elsevier, vol. 21(2), pages 131-141.
  2. Kiyohiko Nishimura & Elod Takáts, 2012. "Ageing, property prices and money demand," BIS Working Papers 385, Bank for International Settlements.
  3. Carlo A. Favero & Andrea Tamoni, 2010. "Demographics and the Econometrics of the Term Structure of Stock Market Risk," Working Papers 367, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Favero, Carlo A. & Gozluklu, Arie E. & Tamoni, Andrea, 2011. "Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 46(05), pages 1493-1520, October.
  5. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. : Arie E. Gozluklu, 2012. "Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics," Working Papers, Warwick Business School, Finance Group wpn12-06, Warwick Business School, Finance Group.
  7. Elod Takats, 2010. "Ageing and asset prices," BIS Working Papers 318, Bank for International Settlements.

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