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Expanding the Scope of Expectations Data Collection: The U.S. and Japanese Stock Markets

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Abstract

A pilot effort was undertaken to experiment with a method of collecting parallel time series data for expectations and popular models and theories of institutional stock market participants in the United States and Japan 1989-91, covering the period before and after the dramatic and sudden halving of Japanese stock prices. Substantial variability within countries through time in the responses and dramatic differences across countries in expectations (even expectations for the same country) were found. There are significant research opportunities in expanded data collection along these lines.

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File URL: http://cowles.econ.yale.edu/P/cd/d10a/d1012.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1012.

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Length: 51 pages
Date of creation: Mar 1992
Date of revision:
Publication status: Published in Review of Economics and Statistics (1996), 78(1): 156-164
Handle: RePEc:cwl:cwldpp:1012

Note: CFP 922.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Keywords: Expectations; stock markets; data collection;

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  1. Martin Feldstein & Charles Horioka, 1979. "Domestic Savings and International Capital Flows," NBER Working Papers 0310, National Bureau of Economic Research, Inc.
  2. French, Kenneth R. & Poterba, James M., 1990. "Japanese and U.S. cross-border common stock investments," Journal of the Japanese and International Economies, Elsevier, vol. 4(4), pages 476-493, December.
  3. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," NBER Working Papers 2538, National Bureau of Economic Research, Inc.
  4. Bates, David S, 1991. " The Crash of '87: Was It Expected? The Evidence from Options Markets," Journal of Finance, American Finance Association, vol. 46(3), pages 1009-44, July.
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