Permanent, Temporary, and Non-Fundamental Components of Stock Prices
使用对数线性结构VAR模型，分解股票价格变动，发现约一半的年度价格变动与盈利或股息无关，而时变风险溢价解释了大部分剩余波动，非基本面偏差仅占约10%，更符合时尚而非泡沫的解释。
This paper identifies various components of stock prices and examines the response of stock prices to different types of shocks: permanent and temporary changes in earnings and dividends, changes in discount factors, and non-fundamental factors. The analysis is conducted in a log-linear structural VAR framework. I find that about half of the yearly variation in prices is not related to either earnings or dividend changes. Time-varying interest rates do not help explain the remaining price movements. However, time-varying excess stock returns (i.e., risk premiums) account for much of the remaining variation in stock prices, in particular, in the postwar period. As a result, the deviation of stock prices from these fundamentals reduces to about 10% of stock price movements and tends to persist for a while before it declines eventually. This finding seems more compatible with a fad rather than a bubble interpretation.