Stock Volatility and the Great Depression / Gustavo S. Cortes, Marc D. Weidenmier.

Format:

Book

Author/Creator:

Cortes, Gustavo S.

Contributor:

National Bureau of Economic Research.

Weidenmier, Marc D.

Series:

Working Paper Series (National Bureau of Economic Research) no. w23554.

NBER working paper series no. w23554

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2017.

Summary:

Stock return volatility during the Great Depression has been labeled a "volatility puzzle" because the standard deviation of stock returns was two to three times higher than any other period in American history (Officer, 1973; Wilson, Sylla, and Jones; 1990). We investigate the "volatility puzzle" using a new series of building permits, a forward-looking measure of economic activity. Our results suggest that the volatility of building permit growth largely explains the high level of stock volatility during the Great Depression. Markets factored in the possibility of a forthcoming economic disaster.

Notes:

Print version record

June 2017.