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Abstract: This paper measures the extent to which persistence in expected returns moves asset prices. Over the period 1871 to 1997 persistence is found to vary greatly. For example, 1 unit of news about expected returns can have an impact of between 2 and 30% on asset prices depending on the time period. Variations in persistence appear to be correlated with variations in the riskiness of the economy. That is, at times of high risk, news effects asset prices more than at times of low risk. These results... (Update)
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BibTeX entry: (Update)
@misc{ priestley-timevarying,
author = "Richard Priestley",
title = "Time-Varying Persistence in Expected Returns",
url = "citeseer.ist.psu.edu/500261.html" }
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