Market VolatilityMIT 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 |
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常見字詞
autoregressive behavior boom Campbell and Shiller chapter coefficient cointegrating computed correlation crash d₁ data set detrended discount factor discount rate dividend series dividend-price ratio earnings efficient markets hypothesis efficient markets model efficient markets theory equation estimated evidence ex-post value excess returns excess volatility figure future dividends housing prices hypothesis implies individual investors institutional investors investment Journal of Finance lagged LeRoy linear long rates long-term interest rate market efficiency moving average observations October 19 optimal forecast P₁ popular models portfolio present value model price changes price movements producer price index r₁ random walk rational expectations rational expectations model real dividends real interest rates real price regression tests restrictions Robert sample period short rates short-term interest rates smart money Standard and Poor's standard deviation standard error statistics stochastic stock market stock price index stock returns survey term structure theory var(P variable vector vector autoregression Wald test yield