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

Autor:	Dan Gabriel Anghel, Petre Caraiani
Rok vydání:	2021
Předmět:	Index (economics) Present value Econometrics Economics Dividend Sample (statistics) Volatility (finance) Finance Stock (geology) Odds
Zdroj:	Critical Finance Review. 10:409-418
ISSN:	2164-5760 2164-5744
DOI:	10.1561/104.00000094
Popis:	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).
Databáze:	OpenAIRE
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