Demographics, Stock Market Flows, and Stock Returns

Details

Serval ID
serval:BIB_AC91C65EFC41
Type
Article: article from journal or magazin.
Collection
Publications
Title
Demographics, Stock Market Flows, and Stock Returns
Journal
Journal of Financial and Quantitative Analysis
Author(s)
Goyal  A.
ISSN
0022-1090
Publication state
Published
Issued date
03/2004
Peer-reviewed
Oui
Volume
39
Number
1
Pages
115-142
Language
english
Abstract
This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models-the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negatively correlated with the changes in the fraction of middle-aged people (45 to 64). Changes in population age structure also add significant explanatory power to equity premium regressions. The population structure adds to the predictive power of regressions involving the investment/savings rate for the U.S. economy. Finally, international demographic changes have some power in explaining international capital flows.
Keywords
Life-cycle, portfolio choice, dividend yields, home bias, baby boom, investment, investors
Web of science
Create date
07/07/2009 13:43
Last modification date
20/08/2019 15:16
Usage data