Stock Prices, News, and Economic Fluctuations

摘要

There is a huge literature suggesting that stock price movements reflect the market's expectation of future developments in the economy. As a test of standard valuation models, Eugene F. Fama (1990) shows that monthly, quarterly, and annual stock returns are highly correlated with future production growth rates for the 1953-1987 period. This result is confirmed on a extended sample (1889-1988) by G. William Schwert (1990). Both authors argue that the relationship between current stock returns and future production growth reflects expectations about future cash flow that is impounded in stock prices. There is also a huge literature, and a long tradition in macroeconomics (from Arthur C. Pigou, 1927, and John Maynard Keynes, 1936, to the survey of Jess Benhabib and Roger E. A. Farmer, 1999) suggesting that changes in expectation may be an important element driving economic fluctuations.