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Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation Author info | Abstract | Publisher info | Download info | Related research | Statistics Kenneth D. West
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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.
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
2574.
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Date of creation: Oct 1989Date of revision:
Handle: RePEc:nbr:nberwo:2574Note: MEContact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A. Phone: 617-868-3900 Email: Web page: http://www.nber.org More information through EDIRC
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