Embed Size (px)
Citation preview
Figure 2: US Real Returns S&P500 (Monthly, Feb 1915 – April 2004)
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
Feb-15 Feb-27 Feb-39 Feb-51 Feb-63 Feb-75 Feb-87 Feb-99
Figure 1: US Real Stock Index S&P500 (Jan 1915 – April 2004)
0
10
20
30
40
50
60
70
80Ja
n-1
5
Ja
n-2
3
Ja
n-3
1
Ja
n-3
9
Ja
n-4
7
Ja
n-5
5
Ja
n-6
3
Ja
n-7
1
Ja
n-7
9
Ja
n-8
7
Ja
n-9
5
Ja
n-0
3
Figure 3: US Real Returns S&P500 (Monthly, Feb 1915 – April 2004)
0
20
40
60
80
100
120
-0.15 -0.11 -0.07 -0.03 0.01 0.05 0.09 0.13
Fre
qu
en
cy
Figure 4: Conditional Variance, GARCH(1,1) Model (US : Feb 1915 – April 2004)
0
0.005
0.01
0.015
0.02
0.025
0.03
0.035
Feb-15 Feb-27 Feb-39 Feb-51 Feb-63 Feb-75 Feb-87 Feb-99
Figure 5: Mean and Standard Deviation: Annual averages, US Real Returns (post 1947)
Standard deviation of returns (percent)
Avera
ge R
etu
rn (
perc
en
t)
0 4 8 12 16 20 24 28 32
4
8
12
16
Government Bonds
Corporate Bonds T-Bills
S&P500 Value weighted, NYSE
Equally weighted, NYSE
NYSE decile size sorted portfolios
Figure 6: One Year Excess Returns US : 1 Year returns : 1947 - 2002 (actual, fitted)
-40
-30
-20
-10
0
10
20
30
40
50
60
1940 1950 1960 1970 1980 1990 2000 2010
Figure 7: Five Year Excess Returns US : 5 year returns : 1947 - 2002 (actual, fitted)
-80
-60
-40
-20
0
20
40
60
80
100
120
1940 1950 1960 1970 1980 1990 2000 2010
Figure 8: Price-Dividend Ratio: USA (1947 – 2002)
0
10
20
30
40
50
60
70
80
1 3 5 7 9
11
13
15
17
19
21
23
25
27
29
31
33
35
37
39
41
43
45
47
49
51
53
55
Figure 9: One-Year Excess Returns and P-D ratio Annual US Data (1947 – 2002)
-40
-30
-20
-10
0
10
20
30
40
50
60
0 20 40 60 80
P-D ratio
Exc
ess
Ret
urn
20022002
20012001
20002000
1999199919981998
19741974
1954
19951995
19961996
