본문 바로가기
KERD
논문KCI 등재

Is There Irrational Exuberance?

김철수
경제연구소 (Hanyang Economic Research Institute)|2004.12|Journal of Economic Development|제29권 제2호|pp. 65-80

2

조회

0

다운로드

0

인용

0

참고문헌

주제분류경제학

초록

Abstract

This paper presents a framework in which we can examine whether stock prices are overvalued or undervalued. This paper estimates equilibrium stock prices based on the Lucas (1978) tree model using the Hansen and Sargent (1980) cross-equation restriction approach and the VAR approach. By comparing equilibrium stock prices with actual stock prices, we can judge whether stock prices are overvalued or undervalued. This paper finds that Korean stock prices for the period 1983:1 to 2002:3 were valued substantially more than their equilibrium prices while US stock prices for the period 1871:1 to 2001:9 were on average valued substantially less than their equilibrium prices.

참고문헌 (21)

  1. "Lectures on Macroeconomics The MIT Press" (1989)
  2. "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis", 55, pp.1249~1273 (1987)
  3. "Asset Pricing at the Millennium" (2000)
  4. "Explaining the Poor Performance of Consumption-based Asset Pricing Models" (1999)
  5. "The Econometrics of Financial Markets" (1997), Princeton University Press
  6. "New Facts in Finance" (1999)
  7. "Portfolio Advice for a Multifactor World" (1999)
  8. "Business Condition and Expected Returns on Stock and Bonds Journal of Financial Economics", pp.23~49 (1989)
  9. "Were Japanese Stock Prices Too High?", 29, pp.23~50 (1991)
  10. "Journal of Economic Dynamics and Control", pp.7~46 (1980)
  11. "The Information Technology Revolution and the Stock Market: Evidence" (2000)
  12. "Evaluating the Specification Errors of Asset Pricing Models" (2000)
  13. "Measuring Deviations from the Permanent Income Hypothesis", 37, pp.205~225 (1996)
  14. "Tests Based on Implied Variance Bounds", eco(metrica), pp.555~574 (1981)
  15. "Asset Prices in an Exchange Economy", 46, pp.1426~1445 (1978)
  16. "Some Theoretical Problems Suggested by the Movements of Interest Rates and Stock Prices in the United States since 1856 National Bureau of Economic Research" (1938)
  17. "and Tests of the Permanent Income Hypothesis Journal of Monetary Economics", pp.165~174 (1985)
  18. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?", 71, pp.421~436 (1981)
  19. "Irrational Exuberance" (2000), Princeton University Press
  20. "Integrated Regressors and Tests of the Permanent- income Hypothesis Journal of Monetary Economics", pp.85~95 (1988)
  21. "Journal of Finance", pp.591~601 (1986)

관련 논문AI추천

Is China Buying the World?Pieke, Frank N.동아시아학술원 · Sungkyun Journal of East Asian Studies2013 · 제13권 제2호Convergence in the International Financial Markets김준기법무부 · 국제법무연구2002 · 제44호The Test of Mean-Variance Approximation to Non-Expected Utility최필선경제연구소 · Journal of Economic Research (JER)2006 · 제11권 제1호Nonlilearity in Valuation Ratio and Its Implications on Long-Horizon Stock Return Predictability이호진경제연구소 · Journal of Economic Research (JER)2006 · 제11권 제2호The Impacts of Risk Management on Investment and Stock Returns이항용경제연구소 · Journal of Economic Research (JER)2006 · 제11권 제2호World-Wide Trends In The Information Industry이상식에스케이텔레콤 (주) · Telecommunications Review1993 · 제3권 제6호

이 간행물의 다른 논문 (8건)

Habit Formation and Precautionary Saving: Evidence from the Korean Household Panel Studies이우헌pp. 1-20Economic Vulnerability and Economic Growth: Some Results from a Neo-Classical Growth Modelling ApproachGordon Cordinapp. 21-39The Effects of Multinational Enterprises Investment in the Nontraded Sector of Developing EconomiesAbera Gelanpp. 41-64Balancing The Budget Through Revenue or Spending Adjustments? The Case of GreecePanagiotis T. Konstantinoupp. 81-105An Econometric Model of Employment in Zimbabwe's Manufacturing IndustriesMkhululi Ncube, Almas Heshmatipp. 107-130
원문 보기