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A Theory of the Nominal Character of Stock Securities
21Apr
Finance

A Theory of the Nominal Character of Stock Securities

21 April 2021 | 4:30 p.m. – 6:00 p.m.
Zoom
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Speaker:

Prof. Bernard Dumas
INSEAD Chaired Professor of Finance, Emeritus

 

Abstract:

We construct recursive solutions for, and study the properties of the dynamic equilibrium of an economy with three types of agents: (i) house-hold/investors who supply labor with a finite elasticity, consume a large variety of goods that are not perfect substitutes and trade government bonds; (ii) firms that produce those varieties of goods, receive productivity shocks and set prices in a Calvo manner; (iii) a government that collects an exogenous fiscal surplus and acts mechanically, buying and selling bonds in accordance with a Taylor policy rule based on expected inflation. In this setting we show that stock market returns are much less than one-for-one related to inflation over a one-year holding period, which means that stock securities have a strong nominal character. We also show that their nominal character diminishes as the length of the stock-holding period increases, in accordance with empirical evidence.

 

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About Speaker
Prof. Bernard Dumas

INSEAD Chaired Professor of Finance, Emeritus

A Theory of the Nominal Character of Stock Securities
21 April 20214:30 p.m. – 6:00 p.m.
Zoom
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