Survey Evidence on Diffusion of Investment Among Institutional Investors / Robert J. Shiller, John Pound.

Format:

Book

Author/Creator:

Shiller, Robert J.

Contributor:

National Bureau of Economic Research.

Pound, John.

Series:

Working Paper Series (National Bureau of Economic Research) no. w1851.

NBER working paper series no. w1851

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1986.

Summary:

Contagion or epidemic models of financial markets are proposed in which interest in or attention to individual stocks is spread by word of mouth. The models give alternative interpretations of the random walk character of stock prices. A questionnaire survey of institutional investors was undertaken to ascertain the relevance of such models. Questions elicited what fraction of these investors were unsystematic and allowed themselves to be influenced by word-of-mouth communications or other salient stimuli. Rough indications of the infection rate and removal rate were produced. Investors in stocks whose price had recently increased dramatically to a high P/E ratio were contrasted with a control group of investors.

Notes:

Print version record

March 1986.