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Stock Volatility in the New Millennium : How Wacky Is Nasdaq?

Author: G William Schwert
Publisher: Cambridge, Mass. National Bureau of Economic Research 2001.
Series: Working paper series (National Bureau of Economic Research), no. w8436.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation to the more seasoned issues reflected in the Standard & Poor's 500 portfolio. It also analyzes the relation of the unusual  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: G William Schwert
OCLC Number: 1027372878
Notes: August 2001.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Working paper series (National Bureau of Economic Research), no. w8436.
Responsibility: G. William Schwert.

Abstract:

The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation to the more seasoned issues reflected in the Standard & Poor's 500 portfolio. It also analyzes the relation of the unusual Nasdaq volatility to the hot IPO market in 1998 and 1999. The factor that seems to explain unusual volatility best is technology, not firm size or the immaturity of the firm.

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