COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1012

"Expanding the Scope of Expectations Data Collection:
The U.S. and Japanese Stock Markets"

Robert J. Shiller, Fumiko Kon-Ya and Yoshiro Tsutsui

March 1992

A pilot effort was undertaken to experiment with a method of collecting parallel time series data for expectations and popular models and theories of institutional stock market participants in the United States and Japan 1989-91, covering the period before and after the dramatic and sudden halving of Japanese stock prices. Substantial variability within countries through time in the responses and dramatic differences across countries in expectations (even expectations for the same country) were found. There are significant research opportunities in expanded data collection along these lines.

JE Classification: C22, C82

Keywords: Expectations, stock markets, data collection