Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013

Abstract

We thank Barclays Bank PLC for partial financial support of this project. There exists a collaboration with Barclays Bank PLC on ways through which the Cyclically Adjusted Price Earnings (CAPE) ratio, a valuation measure that also plays a prominent role in this paper, may be implemented in an investment. The views herein are those of the authors', and do not necessarily reflect the views of Barclays Bank PLC nor those of the National Bureau of Economic Research. At least one co-author has disclosed a financial relationship of potential relevance for this research. Further information is available online at http://www.nber.org/papers/w20370.ack NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

Monetary Policy, Redistribution, and Risk Premia

“…The remaining series are from CRSP.20 The smoothed dividend-price ratio is the 3-month moving average of dividends divided by the price of the stock at the end of the month, value-weighted over the S&P 500. We linearly detrend this series given changes in corporate payout policy over the sample period (seeBunn and Shiller (2014)).…”

The Asymmetric Effects of Monetary Policy on Stock Price Bubbles

“…As the measure of the bubble component of stock prices is a key challenge, we have tested for alternative measure of the bubble and for alternative models' identification. As pointed out by Bunn and Shiller (2014), the level of the CAPE ratio may be influenced by the corporate payout policy and notably by share buybacks. To account for the bias, we use the total return CAPE (TR-CAPE) index available from Shiller.…”

The Effect of Macroeconomic Variables on Stock Exchange Market Performance: Iraq Stock Exchange Market as an Example erformance: Iraq Stock Exchange

“…Looking over the movement of specific stock historical prices and predicting its future trend is called technical analysis. However, fundamental analysis mainly focuses on companies' growth profit, cash flows, and any other suitable information that might likely rise a specific stock value in the market [25] and [26].…”