Market Volatility

Přední strana obálky
MIT Press, 1992 - Počet stran: 463

Market Volatility proposes an innovative theory, backed by substantial statisticalevidence, on the causes of price fluctuations in speculative markets. It challenges the standardefficient markets model for explaining asset prices by emphasizing the significant role that popularopinion or psychology can play in price volatility.Why does the stock market crash from time totime? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly makesurprising shifts? Market Volatility represents a culmination of Shiller's research on thesequestions over the last dozen years. It contains reprints of major papers with new interpretivematerial for those unfamiliar with the issues, new papers, new surveys of relevant literature,responses to critics, data sets, and reframing of basic conclusions. Includes is work authoredjointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel.MarketVolatility sets out basic issues relevant to all markets in which prices make movements forspeculative reasons and offers detailed analyses of the stock market, the bond market, and the realestate market. It pursues the relations of these speculative prices and extends the analysis ofspeculative markets to macroeconomic activity in general.In studies of the October 1987 stock marketcrash and boom and post-boom housing markets, Market Volatility reports on research directly aimedat collecting information about popular models and interpreting the consequences of belief in thosemodels. Shiller asserts that popular models cause people to react incorrectly to economic data andbelieves that changing popular models themselves contribute significantly to price movements bearingno relation to fundamental shocks.Robert J. Shiller is Stanley B. Resor Professor of Economics atthe Cowles Foundation, Yale University.

 

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Obsah

Introduction
1
Fashions Fads and Bubbles in Financial Markets
49
The Stock Market
69
The Use of Volatility Measures in Assessing Market Efficiency
131
Stock Prices Earnings and Expected Dividends with John
153
A Monte Carlo
174
Comovements in Stock Prices and Comovements in Dividends
183
Factors and Fundamentals
197
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
Concluding Notes
431

Overview
217
The Gibson Paradox and Historical Movements in Real Interest
237
Data Series
439
Autorská práva

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O autorovi (1992)

Robert J. Shiller is Stanley B. Resor Professor of Economics at the Cowles Foundation, Yale University.

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