Document Type
Discussion Paper
Publication Date
8-1-2002
CFDP Number
1380
CFDP Pages
23
Abstract
Stock market price/earnings ratios should be influenced by demography. Since demography is predictable, stock returns should be as well. We provide a simple stochastic OLG model with a cyclical structure that generates cyclical P/E ratios. We calibrate the model to roughly fit the cyclical features of historical P/E ratios.
Recommended Citation
Geanakoplos, John; Magill, Michael; and Quinzii, Martine, "Demography and the Long-run Predictability of the Stock Market" (2002). Cowles Foundation Discussion Papers. 1644.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1644