Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis

Velinov, Anton; Chen, Wenjuan

doi:10.1016/j.jeconbus.2015.02.001

Cited by 20 publications

(15 citation statements)

References 43 publications

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“…The model was first proposed for SVAR analysis by Lanne et al (2010). It has been used in a range of applied SVAR studies including Velinov and Chen (2015), Lütkepohl and Netšunajev (2014a), and Lütkepohl and Velinov (2016).…”

Section: Markov Switching In Covariancesmentioning

confidence: 99%

Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis

Luetkepohl

Schlaak

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThe performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the selection criteria, using them is recommended because they can reduce the mean squared error of impulse response estimates substantially relative to a model that is chosen arbitrarily based on the personal preferences of a researcher. Heteroskedasticity tests are found to be useful tools for deciding whether time-varying volatility is present but do not discriminate well between different types of volatility changes. The selection methods are illustrated by specifying a model for the global market for crude oil.

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Section: Markov Switching In Covariancesmentioning

confidence: 99%

Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis

Luetkepohl

Schlaak

2017

SSRN Journal

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“…On the other hand, a number of researchers such as Campbell and Shiller (1987), Cheung and Lee (1998), Lee (1998), Black et al (2003), and Velinov and Chen (2015) are interested in the relationship between the stock market price and macroeconomic fundamentals. We formulate a theoretical framework to derive the fundamental stock price based on a simple macroeconomic model following Black et al (2003).…”

Section: Relations Among Fundamental Value Intrinsic Value and Markmentioning

confidence: 99%

“…A number of empirical papers including Campbell and Shiller (1987), Cheung and Lee (1998), Lee (1998), Black et al (2003), and Velinov and Chen (2015) have investigated the relations between the market price of stock and the macroeconomic fundamentals. These literatures analyze the deviations of the stock prices from their values warranted by expected growth in output.…”

Section: Introductionmentioning

confidence: 99%

Magnitudes of Market Inefficiency: Theory and Application

Miyakoshi

Tsukuda

Shimada

2016

Japan and the World Economy

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“…Such periods can be thought of as being different states of nature, which are arguably well modelled with the Markov switching methodology (see for instance Hamilton, 1989). Our model is capable of endogenously determining different volatility states and, therefore, depicts crises as periods of increased volatility (see Velinov and Chen, 2015). Secondly, the heteroscedastic feature of our model allows us to test structural identifying restrictions as, for instance, in Lanne et al (2010) and others (see Section 5).…”

Section: Introductionmentioning

confidence: 95%