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Market volatility

Author: Robert J Shiller
Publisher: Cambridge Mass. ; London : The MIT Press, 1991.
Edition/Format:   Print book : English : [3rd printing]View all editions and formats
Database:WorldCat
Summary:

Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets.

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Document Type: Book
All Authors / Contributors: Robert J Shiller
ISBN: 0262691515 9780262691512 026219290X 9780262192903
OCLC Number: 715253559
Description: XIV, 464 p. ; 23 cm.
Contents: Part 1 Basic issues and alternative models: stock prices and social dynamics (reprinted with minor editing from "Brookings Papers on Economic Activity 2" 1984); fashions, fads, and bubbles in financial markets (reprinted with minor editing from "Knights, Raiders and Targets", edited by J. Coffe, et al). Part 2 The Stock Market: overview; stock market volatility - an introductory survey; do stock prices move too much to be justified by subsequent changes in dividends? (reprinted with minor editing from "American Economic Review" 71, 1981); the use of volatility measures in assessing market efficiency (reprinted with minor editing from "Journal of Finance" 36, 1981); the probability of gross violations of a present value variance inequality (reprinted with minor editing from "Journal of Political Economy" 96, 1988); stock prices, earnings, and expected dividends (with John Y. Campbell) (reprinted with minor editing from "Journal of Finance" 43, 1988); the dividend ratio model and small sample bias - a Monte Carlo Study (with John Y. Campbell) (reprinted with minor editing from "Journal of Finance" 44, 1989); comovements in stock prices and comovements in dividens (reprinted with minor editing from "Journal of Finance" 44, 1989); factors and fundamentals. Part 3 The bond market: overview; bond market volatility - an introductory survey; the Gibson paradox and historical movements in real interest rates (with Heremy J. Siegel) (reprinted with minor editing from "Journal of Political Economy 85, 1977); the volatility of long-term interest rates and expectations models of the term structure (reprinted with minor editing from "Journal of Political Economy" 87, 1979); cointegration and tests of present value models (with John Y. Campbell) (reprinted with minor editing from "Journal of Political Economy" 95, 1987). Part 4 The real estate market: overview; the efficiency of the market for single family homes (with Karl E. Case) (reprinted with minor editing from "American Economic Review" 79, 1989). Part 5 The aggregate economy: overview; ultimate sources of aggregate variability (reprinted with minor editing from "American Economic Review" 77, 1987); the determinants of the variability of stock market prices (with Sanford J. Grossman) (reprinted with minor editing from "American Economic Review" 71, 1981). Part 6 Popular models and investor behaviour: overview; investor behavior in the October 1987 Stock Market Crash - survey evidence; the behaviour of home buyers in boom and post-boom markets (with Karl E. Case) (reprinted with minor editing from "New England Economic Review" (1988).
Responsibility: Robert J. Shiller.

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"Shiller's book should be read by anyone with a serious interest in the functioning of markets." Richard A. Grasso , President and Chief Operating Officer, New York Stock Exchange "A specter haunts Read more...

 
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