Market Volatility

封面
MIT Press, 1992年1月30日 - 480 頁
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
 

內容

Introduction
1
reprinted with minor editing from Brookings Papers on Economic
7
Fashions Fads and Bubbles in Financial Markets
49
Overview
71
An Introductory Survey
77
Do Stock Prices Move Too Much to Be Justified by Subsequent
105
The Use of Volatility Measures in Assessing Market Efficiency
131
Stock Prices Earnings and Expected Dividends with John
153
The Gibson Paradox and Historical Movements in Real Interest
237
The Volatility of LongTerm Interest Rates and Expectations
256
Cointegration and Tests of Present Value Models with John
288
Overview
319
Overview
345
The Determinants of the Variability of Stock Market Prices
359
Overview
371
The Behavior of Home Buyers in Boom and PostBoom Markets
403

A Monte Carlo
174
Comovements in Stock Prices and Comovements in Dividends
183
Factors and Fundamentals
197
Overview
217
Concluding Notes
431
Data Series
439
著作權所有

其他版本 - 查看全部

常見字詞

關於作者 (1992)

Robert J. Shiller is Sterling Professor of Economics at Yale University. He is the author of Finance and the Good Society and other books.

書目資訊