Market Volatility

Robert J. Shiller (Arthur M. Okun Professor of Economics, Yale University)

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English

MIT Press
30 January 1992

Social, group or collective psychology; Microeconomics; Investment & securities

Series: Market Volatility

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.

By: Robert J. Shiller (Arthur M. Okun Professor of Economics Yale University)
Imprint: MIT Press
Country of Publication: United States
Dimensions: Height: 229mm, Width: 152mm, Spine: 24mm
Weight: 771g
ISBN: 9780262691512
ISBN 10: 0262691515
Series: Market Volatility
Pages: 480
Publication Date: 30 January 1992
Recommended Age: From 18 years
Audience: College/higher education , Professional and scholarly , Primary , Undergraduate
Format: Paperback
Publisher's Status: Active

Robert J. Shiller is Sterling Professor of Economics at Yale University. He is the author of Finance and the Good Society and other books.

Reviews for Market Volatility

A specter haunts modern economics: 'individual stocks perform random walks in efficient markets, but the level of the whole market displays no demonstrable efficiency.' Bob Shiller is the key economist in this great debate. Buy his book and think on its contents. Learn what the October 1987 crash was all about. --Paul Samuelson, Institute Professor, MIT