Ｒ．Ｊ．シラー著／市場のボラティリティ Market Volatility (Market Volatility)

Shiller, Robert J.

MIT Press（1992/01発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 480 p.
• 言語 ENG
• 商品コード 9780262691512
• DDC分類 332.642

基本説明

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

Full Description

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.

Contents

Part 1 Basic issues and alternative modelsdynamics (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).