What drives stock prices? Fundamentals, bubbles and investor behavior.
Using a dynamic version of the present value model and a range of developed and Asian emerging markets, this paper considers estimates of stock market prices given expectations on dividends and earnings and compares these fundamental stock prices with actual stock prices. The reported empirical resu...
| Main Authors: | , |
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| Format: | Working Paper |
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School of Economics and Finance, Curtin Business School
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/41161 |
| _version_ | 1848756067764273152 |
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| author | Chen, Y. Fraser, Patricia |
| author_facet | Chen, Y. Fraser, Patricia |
| author_sort | Chen, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Using a dynamic version of the present value model and a range of developed and Asian emerging markets, this paper considers estimates of stock market prices given expectations on dividends and earnings and compares these fundamental stock prices with actual stock prices. The reported empirical results suggest that a dynamic present value model combined with differing definitions of cash flows can explain actual stock price movements for many of the sample markets. For markets where price deviations from fundamental value are statistically significant, the revealed deviations are investigated by considering types of investor behavior which might drive such departures. |
| first_indexed | 2025-11-14T09:06:19Z |
| format | Working Paper |
| id | curtin-20.500.11937-41161 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:06:19Z |
| publishDate | 2009 |
| publisher | School of Economics and Finance, Curtin Business School |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-411612017-01-30T14:48:40Z What drives stock prices? Fundamentals, bubbles and investor behavior. Chen, Y. Fraser, Patricia rational bubble risk premium cash flow Present value price deviation Using a dynamic version of the present value model and a range of developed and Asian emerging markets, this paper considers estimates of stock market prices given expectations on dividends and earnings and compares these fundamental stock prices with actual stock prices. The reported empirical results suggest that a dynamic present value model combined with differing definitions of cash flows can explain actual stock price movements for many of the sample markets. For markets where price deviations from fundamental value are statistically significant, the revealed deviations are investigated by considering types of investor behavior which might drive such departures. 2009 Working Paper http://hdl.handle.net/20.500.11937/41161 School of Economics and Finance, Curtin Business School fulltext |
| spellingShingle | rational bubble risk premium cash flow Present value price deviation Chen, Y. Fraser, Patricia What drives stock prices? Fundamentals, bubbles and investor behavior. |
| title | What drives stock prices? Fundamentals, bubbles and investor behavior. |
| title_full | What drives stock prices? Fundamentals, bubbles and investor behavior. |
| title_fullStr | What drives stock prices? Fundamentals, bubbles and investor behavior. |
| title_full_unstemmed | What drives stock prices? Fundamentals, bubbles and investor behavior. |
| title_short | What drives stock prices? Fundamentals, bubbles and investor behavior. |
| title_sort | what drives stock prices? fundamentals, bubbles and investor behavior. |
| topic | rational bubble risk premium cash flow Present value price deviation |
| url | http://hdl.handle.net/20.500.11937/41161 |