Stock Market Volatility And Investment: Do Only Fundamental Matter?
The empirical evidence in the volatility literature suggests that movements in stock prices cannot be satisfactorily explained purely in terms of changes in fundamentals. This paper shows how to obtain proxies for the fundamental and fad components of changes in stock prices and asks the question: Do only fundamentals matter for investment decisions? We find that changes in investment are significantly associated with movements in both components of stock prices. The point estimates suggest that changes in fundamentals have a greater effect than changes in non-fundamentals. The statistical significance of the difference between their coefficients depends upon the financing regime. These conclusions are shown to be robust to modifications and extensions of the model. Copyright 1994 by The London School of Economics and Political Science.
(This abstract was borrowed from another version of this item.)
|Date of creation:||1990|
|Date of revision:|
|Contact details of provider:|| Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012|
Phone: (212) 998-8936
Fax: (212) 995-3932
Web page: http://econ.as.nyu.edu/object/econ.cvstarr.html
More information through EDIRC
|Order Information:|| Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012|
When requesting a correction, please mention this item's handle: RePEc:cvs:starer:90-15. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anne Stubing)
If references are entirely missing, you can add them using this form.