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Excerpt from On the Volatility of Stock Market Prices
This paradigm has several advantages: The partial equilibrium micro studies cited earlier ignore the interaction of consumption growth and interest rates. Implicitly assuming their in dependence. In contrast, the neoclassical growth model explicitly captures their interaction. Secondly. Examining aggregate values relative to National Income is natural in this theoret ical setting since detrending is not a problem as these series appear to be co-integrated.
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This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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Excerpt from On the Volatility of Stock Market Prices
This paradigm has several advantages: The partial equilibrium micro studies cited earlier ignore the interaction of consumption growth and interest rates. Implicitly assuming their in dependence. In contrast, the neoclassical growth model explicitly captures their interaction. Secondly. Examining aggregate values relative to National Income is natural in this theoret ical setting since detrending is not a problem as these series appear to be co-integrated.
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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Excerpt from On the Volatility of Stock Market Prices
The majority of studies to date dealing with stock price volatility have been micro-studies. This line of research has its origins in the important early work of Shiller (1981) and LeRoy and Porter (1981), which found evidence of excessive volatility of stock prices relative to the underlying dividend/earnings process. Using data for a hundred years, Shiller (1981) in particular, reported that, in his model, the volatility of actual stock prices exceeded the theoretical upper bound by a factor of 5.59. These studies use a constant interest rate, an assumption subsequently relaxed by Grossman and Shiller (1981) who addressed the issue of varying interest rates. They concluded that although this reduced the excess volatility, Shiller's conclusion could not be overturned for reasonable values of the coefficient of relative risk aversion.
The conclusions of the above cited studies have been challenged in recent years, most notably by Flavin (1983), Kleidon (1986) and Marsh and Merton (1986). These challenges appear to have merit. The essence of their criticism is that the tests are biased, the confidence intervals wide and sensitive to trend. They emphasize the importance of low frequency movements in dividends. Gilles and LeRoy (1990) in their critical review of the variance bound literature point out that Shiller's volatility tests are likely to be biased if the stochastic process generating dividends is such that the detrending procedure is inappropriate. The later variance bound tests of West (1986) and Mankiw, Romer and Shapiro (1985) are unbiased but essentially inconclusive because, like Shiller's tests, they leave open the question of sampling variability. The interested reader is referred to Gilles and LeRoy (1990) or Shiller (1989) for a detailed overview. Gilles and LeRoy conclude "... This finding of excess volatility is robust..."
This paper shifts the focus of analysis from the firm to the aggregate level and complements the work by Grossman and Shiller (1981). Rather than studying individual securities, we choose to examine issues of volatility utilizing aggregate stock market values and aggregate after-tax net cash flows as a ratio to National Income.
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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Paperback. Zustand: New. Print on Demand. This book explores the historical behavior of the value of the U.S. stock market relative to the country's economic output, and its relation to volatility. The author analyzes the causes and significance of substantial movements in the stock market over time. The study is situated within the framework of a neoclassical economic growth model, examining the effects of variables such as debt-to-equity ratios and consumption-to-output ratios on market valuation. The author concludes that while the neoclassical growth model is unable to fully account for observed movements in the stock market, stochastic models incorporating low-frequency economic shifts provide a better explanation. The book's insights contribute to a broader understanding of the factors driving stock market behavior and the relationship between economic growth and financial market valuation. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Bestandsnummer des Verkäufers 9781330350058_0
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On the Volatility of Stock Market Prices Classic Reprint
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On the Volatility of Stock Market Prices Classic Reprint
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PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000. Bestandsnummer des Verkäufers LW-9781330350058
Anzahl: 15 verfügbar