Stock Market Bubbles, Inflation and Investment Risk

Show simple item record

dc.contributor Vakuutusvalvontavirasto
dc.contributor Försäkringsinspektionen
dc.contributor Insurance Supervisory Authority
dc.contributor.author Kaliva, Kasimir
dc.contributor.author Koskinen, Lasse
dc.date.accessioned 2018-04-13T08:20:32Z
dc.date.available 2018-04-13T08:20:32Z
dc.date.issued 2006
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/15391
dc.description.abstract This paper proposes an autoregressive regime-switching model of stock price dynamics in which the process creates pricing bubbles in one regime while error-correction prevails in the other. In the bubble regime the stock price depends negatively on inflation. In the error-correction regime it depends on the price-dividend -ratio. We find that the probability of regime-switch depends on exogenous inflation and lagged price. The model is consistent with Shleifer and Vishny’s theoretical noise trader and arbitrageur model and Modigliani’s inflation illusion phenomenon. The results emphasize the importance of inflation and the price-dividend -ratio when assessing investment risk.
dc.description.abstract Tutkimuksessa tarkastellaan vakuutuslaitosten vakavaraisuuden kannalta tärkeää ”osakekuplaa” eli yritysten taloudelliseen tilaan perustumatonta liian korkeaa osakkeen hintaa. Kuplaa seuraa usein hinnan romahdus. Esiteltyä menetelmää on sovellettu vakuutusvalvontavirastossa mm. työeläkejärjestelmän sijoitustoiminnan riskianalyysiin.
dc.format.extent 22
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject kuplat
dc.subject mallit
dc.subject.other Dividend-Price Ratio
dc.subject.other LMARX Model
dc.subject.other Stock Return Distribution
dc.subject.other Time-Varying Risk
dc.subject.other Time-Varying Expected Returns
dc.title Stock Market Bubbles, Inflation and Investment Risk
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201804131447
dc.subject.jel C51
dc.subject.jel C52
dc.subject.jel G11
dc.subject.jel G12
dc.series.name Insurance Supervisory Authority. Research reports
dc.series.year 2006
dc.series.number 2
dc.series.sortingnumber 0002
dc.date.publication 15.2.2006
dc.subject.yso osakkeet
dc.subject.yso pääomamarkkinat
dc.subject.yso investoinnit
dc.subject.yso riskit
dc.subject.yso hinnat
dc.subject.yso inflaatio

Files in this item

Total number of downloads: Loading...

Files Size Format View
Vakuutussektori ... ketBubblesInflationAnd.pdf 375.5Kb PDF View/Open

This item appears in the following Collection(s)

Show simple item record