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dc.contributor.authorRobertson, Donalden_GB
dc.contributor.authorWright, Stephen M.en_GB
dc.date.accessioned2004-06-16T16:05:49Z
dc.date.available2004-06-16T16:05:49Z
dc.date.created1998-10en_GB
dc.date.issued2004-06-16T16:05:49Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/412
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/412
dc.description.abstractIf stock prices followed a random walk, uncertainty about future stock prices would be so great that the observed bias towards equities in long-term investment portfolios would be surprising. The good news is that if, as a growing body of research suggests, there is even a weak tendency for stationary valuation indicators to predict future stock prices, long-run returns can become markedly more predictable. This is illustrated in a cointegrating VAR, with Tobin?s q as one of the cointegrating relations. The bad news is a corollary of the good news: q and most other indicators point to massive at the end of 1997, and hence the prospect of weak stock prices well into the next century.en_GB
dc.format.extent618681 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C32, C52, E44, G10, G14en_GB
dc.subject.otherStock prices, Random walk, Cointegration, Vector autoregressions, Tobin's q, Efficiencyen_GB
dc.titleThe Good News and the Bad News about Long-run Stock Market Returnsen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5034


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