Demographics, Stock Market Flows, and Stock Returns

Détails

ID Serval
serval:BIB_AC91C65EFC41
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Demographics, Stock Market Flows, and Stock Returns
Périodique
Journal of Financial and Quantitative Analysis
Auteur⸱e⸱s
Goyal  A.
ISSN
0022-1090
Statut éditorial
Publié
Date de publication
03/2004
Peer-reviewed
Oui
Volume
39
Numéro
1
Pages
115-142
Langue
anglais
Résumé
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.
Mots-clé
Life-cycle, portfolio choice, dividend yields, home bias, baby boom, investment, investors
Web of science
Création de la notice
07/07/2009 13:43
Dernière modification de la notice
20/08/2019 15:16
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