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Speculative Behavior in the Stock Markets: Evidence from the United States and Japan

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  • Robert J. Shiller
  • Fumiko Kon-Ya
  • Yoshiro Tsutsui

Abstract

There have been enormous differences of opinion between U.S. and Japanese institutional investors about the outlook for stock prices, differences across the two countries in average one-year-ahead forecasts for the Japanese stock market as great as twenty percentage points. In the past two years most Japanese and U.S. institutional investors have had expectations for a reversal of trends in the stock market, and advised an investing strategy that depended on getting out of (or in to) the market before an anticipated market turnaround. These results, obtained from a number of questionnaire surveys in 1989 and 1990, help explain the relative lack of portfolio diversification across countries and show the short-term nature of speculative behavior.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 3613.

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Date of creation: Feb 1991
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Handle: RePEc:nbr:nberwo:3613

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Cited by:
  1. Mukerji, S. & Tallon, J.-M., 1999. "Ambiguity Aversion and Incompleteness of Financial Markets," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1) 1999-28, Université Panthéon-Sorbonne (Paris 1).
  2. Simon van Norden & Huntley Schaller, 2002. "Fads or bubbles?," Empirical Economics, Springer, Springer, vol. 27(2), pages 335-362.
  3. Glassman, Debra A. & Riddick, Leigh A., 2006. "Market timing by global fund managers," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(7), pages 1029-1050, November.
  4. Kang, Jun-Koo & Stulz, Rene M., 1997. "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan," Journal of Financial Economics, Elsevier, Elsevier, vol. 46(1), pages 3-28, October.
  5. Glassman, Debra A. & Riddick, Leigh A., 2001. "What causes home asset bias and how should it be measured?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(1), pages 35-54, March.
  6. Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc.

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