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FUNDAMENTALS LARGELY EXPLAIN STOCK PRICE VOLATILITY

FUNDAMENTALS LARGELY EXPLAIN STOCK PRICE VOLATILITY Footnotes 1 . Professor Shiller's work has been published extensively in many leading academic and practitioner Journals. Much of his work on stock‐market volatility is reprinted in his recent book titled “Market Volatility,” 1989, The MIT Press, Cambridge, Massachusetts. 2 . See, for example, Robert Shiller, “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,” American Economic Review , June, 1981. 3 . “Market Volatility and Investor Behavior,” American Economic Review (1990, pp. 58‐62). 4 . “Stock Return Variation and Expected Dividends: A Time Series and Cross‐Sectional Analysis,” Journal of Financial Economics , volume 31, 1992, pp. 177‐210. 5 . We obtain results similar to those reported here using value‐weighted portfolio returns. Results on value‐weighted portfolios are perhaps more important to the investment community. 6 . We use the contemporaneous growth rate of investment as a proxy for expected dividend growth, based on past evidence that annual growth is largely predictable at the beginning of the year. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Corporate Finance Wiley

FUNDAMENTALS LARGELY EXPLAIN STOCK PRICE VOLATILITY

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Publisher
Wiley
Copyright
Copyright © 1993 Wiley Subscription Services, Inc., A Wiley Company
ISSN
1078-1196
eISSN
1745-6622
DOI
10.1111/j.1745-6622.1993.tb00385.x
Publisher site
See Article on Publisher Site

Abstract

Footnotes 1 . Professor Shiller's work has been published extensively in many leading academic and practitioner Journals. Much of his work on stock‐market volatility is reprinted in his recent book titled “Market Volatility,” 1989, The MIT Press, Cambridge, Massachusetts. 2 . See, for example, Robert Shiller, “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,” American Economic Review , June, 1981. 3 . “Market Volatility and Investor Behavior,” American Economic Review (1990, pp. 58‐62). 4 . “Stock Return Variation and Expected Dividends: A Time Series and Cross‐Sectional Analysis,” Journal of Financial Economics , volume 31, 1992, pp. 177‐210. 5 . We obtain results similar to those reported here using value‐weighted portfolio returns. Results on value‐weighted portfolios are perhaps more important to the investment community. 6 . We use the contemporaneous growth rate of investment as a proxy for expected dividend growth, based on past evidence that annual growth is largely predictable at the beginning of the year.

Journal

Journal of Applied Corporate Finance – Wiley

Published: Jun 1, 1993

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