"Excess Volatility" and the German Stock Market, 1870-1990
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 Germanstock market has also possessed "excess volatility" over the past century. It finds no evidence or excess volatility in the pre-WWI German stock market. By contrast, there is some evidence of excess- volatiltiy in the post-WWII German stock market. The role played by the German Great Banks in the pre- WWI market might be the cause of the low comparative volatility of German stock indices before 1914.
|Date of creation:||24 Sep 1995|
|Note:||Type of Document - Adobe Acrobat .pdf file; prepared on Macintosh; to print on Postscript (.pdf); pages: 27 ; figures: included|
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- Barsky, Robert B. & Long, J. Bradford De, 1990.
"Bull and Bear Markets in the Twentieth Century,"
The Journal of Economic History,
Cambridge University Press, vol. 50(02), pages 265-281, June.
- 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.
- Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
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