Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation / Kenneth D. West.

Format:

Book

Author/Creator:

West, Kenneth D.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2574.

NBER working paper series no. w2574

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Bubbles, Fads, and Stock Price Volatility Tests

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1988.

Summary:

This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter (1981) and Shiller (1981a). It appears that neither small sample bias, rational bubbles nor some standard models for expected returns adequately explain stock price volatility. This suggests a role for some nonstandard models for expected returns. One possibility is "fads" models in which noise trading by naive investors is important. At present, however, there is little direct evidence that such fads play a significant role in stock price determination.

Notes:

Print version record

May 1988.