IDEAS home Printed from https://ideas.repec.org/a/now/jnlcfr/104.00000094.html
   My bibliography  Save this article

Stock Prices Still Move Too Much For Dividends But Less So: A Reappraisal of Shiller 1981

Author

Listed:
  • Dan Gabriel Anghel
  • Petre Caraiani

Abstract

In this paper, we revisit and extend the analysis in Shiller (1981) to an updated sample. The main puzzling result of the paper is that the fundamental present value model of stock prices predicts a volatility at odds with the data: the stock prices are much more volatile compared to what discounted future dividends would imply. Our paper closely replicates the results for the S&P 500 index. For an updated sample between 1963 and 2018, we find that the excess volatility puzzle is still strong, but it has diminished by a third relative to the sample period in Shiller (1981).

Suggested Citation

  • Dan Gabriel Anghel & Petre Caraiani, 2021. "Stock Prices Still Move Too Much For Dividends But Less So: A Reappraisal of Shiller 1981," Critical Finance Review, now publishers, vol. 10(3), pages 409-418, August.
    • Handle: RePEc:now:jnlcfr:104.00000094
    DOI: 10.1561/104.00000094
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1561/104.00000094
    Download Restriction: no
    File URL: https://libkey.io/10.1561/104.00000094?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Excess volatility; Present value model;

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:now:jnlcfr:104.00000094. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lucy Wiseman (email available below). General contact details of provider: http://www.nowpublishers.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.