Finance Research Letters 1 (2004) 90–99
We estimate various structural vector autoregression models for the US in order to assess the importance of fundamental shocks in explaining stock price movements. The results show that models using real activity variables place more weight on fundamental shocks than models using dividends or earnings. However, according to all models fundamental shocks became substantially less important during the period 1982–2002 if compared to 1953–1982.
2004 Elsevier Inc. All rights reserved.