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Demography and the Long-run Predictability of the Stock Market

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Abstract

This paper was begun during a visit at the Cowles Foundation in Fall 2000 and revised during a visit in Fall 2002: Michael Magill and Martine Quinzii are grateful for the stimulating environment and the research support provided by the Cowles Foundation. We are also grateful to Bob Shiller for helpful discussions, and to participants at the Cowles Conference on Incomplete Markets at Yale University, the SITE Workshop at Stanford University, the Incomplete Markets Workshop at SUNY Stony Brook during the summer 2001, the Southwest Economic Conference at UCLA, and the Conference for the Advancement of Economic Theory at Rhodes in 2003 for helpful comments. Many thanks to Bill Brainard whose numerous insightful questions and comments greatly improved the final version of the paper. Unfortunately the authors are solely responsible for the remaining weaknesses.

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File URL: http://cowles.econ.yale.edu/P/cd/d13b/d1380-r.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1380R.

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Length: 55 pages
Date of creation: Aug 2002
Date of revision: Jul 2004
Publication status: Published in Brookings Papers on Economic Activity (2004), 1: 241-325
Handle: RePEc:cwl:cwldpp:1380r

Note: CFP 1099.
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Related research

Keywords: Demography; Price earnings ratio; Returns; Efficient markets; Baby-boom; Savings;

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References

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  1. John Heaton & Deborah Lucas, 2000. "Stock Prices and Fundamentals," NBER Chapters, in: NBER Macroeconomics Annual 1999, Volume 14, pages 213-264 National Bureau of Economic Research, Inc.
  2. Steven A. Sass & Robert K. Triest, 1997. "Social Security: how social and secure should it be?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 41(Jun), pages 29-63.
  3. Bakshi, Gurdip S & Chen, Zhiwu, 1994. "Baby Boom, Population Aging, and Capital Markets," The Journal of Business, University of Chicago Press, vol. 67(2), pages 165-202, April.
  4. Modigliani, Franco, 1988. "The Role of Intergenerational Transfers and Life Cycle Saving in the Accumulation of Wealth," Journal of Economic Perspectives, American Economic Association, vol. 2(2), pages 15-40, Spring.
  5. Welch, Finis, 1979. "Effects of Cohort Size on Earnings: The Baby Boom Babies' Financial Bust," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages S65-97, October.
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  7. Robin Brooks, 2002. "Asset-Market Effects of the Baby Boom and Social-Security Reform," American Economic Review, American Economic Association, vol. 92(2), pages 402-406, May.
  8. Constantinides, G.M. & Donalson, J.B. & Mehra, R., 1997. "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," Papers 97-24, Columbia - Graduate School of Business.
  9. Finis Welch, 1979. "Effects of Cohort Size on Earnings: The Baby Boom Babies' Financial Bust," UCLA Economics Working Papers 146, UCLA Department of Economics.
  10. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August.
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  12. Ang, Andrew & Maddaloni, Angela, 2003. "Do demographic changes affect risk premiums? Evidence from international data," Working Paper Series 0208, European Central Bank.
  13. Ellen R. McGrattan & Edward C. Prescott, 2000. "Is the stock market overvalued?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 20-40.
  14. Andrew B. Abel, 2001. "Will bequests attenuate the predicted meltdown in stock prices when baby boomers retire?," Working Papers 01-2, Federal Reserve Bank of Philadelphia.
  15. Simon Kuznets & Elizabeth Jenks, 1961. "Capital in the American Economy: Its Formation and Financing," NBER Books, National Bureau of Economic Research, Inc, number kuzn61-1, octubre-d.
  16. Butler, M. & Harms, P., 2001. "Old Folks and Spoiled Brats: Why the baby Boomers' Saving Crisis Need Not be that Bad," Discussion Paper 2001-42, Tilburg University, Center for Economic Research.
  17. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  18. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers 1295, Cowles Foundation for Research in Economics, Yale University.
  19. Easterlin, Richard A., 1987. "Birth and Fortune," University of Chicago Press Economics Books, University of Chicago Press, edition 1, number 9780226180328, June.
  20. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  21. Philippe Jorion & William N. Goetzmann, 1999. "Global Stock Markets in the Twentieth Century," Journal of Finance, American Finance Association, vol. 54(3), pages 953-980, 06.
  22. James M. Poterba, 2001. "Demographic Structure And Asset Returns," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 565-584, November.
  23. Modigliani, Franco, 1985. "Life Cycle, Individual Thrift and the Wealth of Nations," Nobel Prize in Economics documents 1985-1, Nobel Prize Committee.
  24. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May.
  25. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
  26. Mankiw, N. Gregory & Weil, David N., 1989. "The baby boom, the baby bust, and the housing market," Regional Science and Urban Economics, Elsevier, vol. 19(2), pages 235-258, May.
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As found by EconAcademics.org, the blog aggregator for Economics research:
  1. L'impact de la démographie sur le prix des actifs
    by bertrandachou@orange.fr (Bertrand Achou) in BS Initiative on 2013-12-19 04:43:28
  2. L'impact de la démographie sur le prix des actifs
    by bertrandachou@orange.fr (Bertrand Achou) in BS Initiative on 2013-12-19 04:43:28
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