Consumption and the Stock Market: Interpreting International Experience

No 5610, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper reviews the behavior of stock prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The paper argues that to make sense of stock market behavior one needs a model in which investors' risk aversion is both high and varying, such as the external habit-formation model of Campbell and Cochrane (1995).

JEL-codes: G2 (search for similar items in EconPapers)
Date: 1996-06
Note: AP EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

Published as Swedish Economic Policy Review, Vol.3 (1996): 251-299.

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Working Paper: Consumption and the Stock Market: Interpreting International Experience (1996)
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