Market Volatility

By Robert J. Shiller
MIT Press, Cambridge MA, 1989.

The origins of price movements are poorly known in all speculative markets: markets for corporate stocks, bonds, homes, land, commercial structures, commodities, collectables, and foreign exchange. Why do stock prices often change up or down 20% in a year's time? Why do long term bond prices sometimes change up or down as much? Why do we sometimes find "hot" markets for homes, with prices sometimes jumping or more 20% in a year, after years of stable prices? The book presents basic research on the ultimate causes of price volatility in speculative markets, on the causes that make good economic sense and on the causes that are psychological or sociological in origin. The research, conducted over the last dozen years, includes both my own work and joint research with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. About two thirds of the book consists of previously published articles. [464 pages]

Contents:  Introduction, 1. Stock Prices and Social Dynamics, 2. Fashions, Fads and Bubbles in Financial Markets, 3.The Stock Market: Overview, 4. Stock Market Volatility, An Introductory Survey, 5. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends, 6. The Use of Volatility Measures in Assessing Market Efficiency, 7. The Probability of Gross Violations of a Present Value Variance Inequality, 8. Stock Prices, Earnings, and Expected Dividends, 9. The Dividend-Ratio Model and Expected Dividends, 10. Comovements in Stock Prices and Comovements in Dividends, 11. Factors and Fundamentals, 12. The Bond Market: Overview, 13. Bond Market Volatility: An Introductory Suvery, 14. The Gibson Paradox and Historical Movements in Long-Term Interest Rates, 15. The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure, 16. Cointegration and Tests of Present Value Models, 17. The Real Estate Market: Overview, 18. The Efficiency of the Market for Single Family Homes, 19. The Aggregate Economy, Overview, 20. Ultimate Sources of Aggregate Variability, 21 The Determinants of the Variability of Stock Market Prices, 22. Popular Models and Investor Behavior, Overview, 23. Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence, 24. The Behavior of Home Buyers in Boom and Post-Boom Markets, 25. Concluding Notes, 26, Data Series, Author Index, Subject Index

Translations:
     Chinese: Chinese People's University Press, China