NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

Long-run Bulls and Bears

Rui Albuquerque, Martin Eichenbaum, Dimitris Papanikolaou, Sergio Rebelo

NBER Working Paper No. 20858
Issued in January 2015, Revised in April 2015
NBER Program(s):Asset Pricing Program, Economic Fluctuations and Growth Program

A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation between stock returns and fundamentals across bull and bear episodes. This correlation is much higher than the analogous time-series correlations. We show that several asset pricing models cannot simultaneously account for the low time-series and high episode correlations.

download in pdf format
   (477 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w20858

Published: Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sergio, 2015. "Long-run bulls and bears," Journal of Monetary Economics, Elsevier, vol. 76(S), pages S21-S36. citation courtesy of

Users who downloaded this paper also downloaded* these:
Golez and Koudijs w20814 Four Centuries of Return Predictability
Feldstein w20862 Ending the Euro Crisis?
Novy-Marx and Velikov w20721 A Taxonomy of Anomalies and their Trading Costs
King and Plosser w3160 Real Business Cycles and the Test of the Adelmans
Albuquerque, Eichenbaum, and Rebelo w18617 Valuation Risk and Asset Pricing
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us