Long-Term Predictability in Stock Returns: Past and Future Us Baby-Boom Effects, 1950-2050‎

32 Pages Posted: 29 Mar 2005 Last revised: 6 Aug 2016

See all articles by Haim Kedar-Levy

Haim Kedar-Levy

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management

Date Written: December 1, 2011

Abstract

Empirical studies demonstrated that US baby boomers consumption and savings ‎patterns have affected economic aggregates over the past decades, among them ‎equity returns. Boomers’ retirement is expected to generate an excess supply of ‎equities until 2050, but its impact varies with the specific population age structure ‎along decades. This paper estimates aging effects on S&P500 returns between ‎‎1950-2050. Calibration for demographic and economic data between 1950-2005 ‎yields model estimates that significantly explain the moving average of S&P500 ‎returns. The present value of expected demographic effects until 2050 suggests ‎that the S&P500 was rationally priced in early 2009, but its subsequent ‎appreciation represents overpricing.‎

Keywords: Predictability, Demography, Baby-Boom, Asset Pricing

JEL Classification: G11, G12, J11

Suggested Citation

Kedar-Levy, Haim, Long-Term Predictability in Stock Returns: Past and Future Us Baby-Boom Effects, 1950-2050‎ (December 1, 2011). Available at SSRN: https://ssrn.com/abstract=678781 or http://dx.doi.org/10.2139/ssrn.678781

Haim Kedar-Levy (Contact Author)

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management ( email )

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