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"Excess Volatility" and the German Stock Market, 1876-1990

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  • J. Bradford De Long
  • Marco Becht

Abstract

This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the German stock market has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock market. The role played by the German Grosbanken in the pre-World War I stock market might be the cause of low comparative volatility of German stock indices before 1914.

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File URL: http://www.nber.org/papers/w4054.pdf
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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 4054.

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Date of creation: Apr 1992
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Handle: RePEc:nbr:nberwo:4054

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  1. Robert B. Barsky & J. Bradford De Long, 1989. "Bull and Bear Markets in the Twentieth Century," NBER Working Papers 3171, National Bureau of Economic Research, Inc.
  2. Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers, Princeton, Department of Economics - Econometric Research Program 334, Princeton, Department of Economics - Econometric Research Program.
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Cited by:
  1. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(4), pages 497-521, August.
  2. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
  3. Hans Joachim Voth, 2001. "Inflation, political instability and stockmarket volatility in interwar Germany," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 535, Department of Economics and Business, Universitat Pompeu Fabra.
  4. Robert B. Barsky & J. Bradford De Long, 1992. "Why Does the Stock Market Fluctuate?," NBER Working Papers 3995, National Bureau of Economic Research, Inc.

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