Market Volatility [Paperback]

Robert J. Shiller (Author)

Book Description

Publication Date: January 30, 1992

Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility.Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Includes is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel.Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general.In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.Robert J. Shiller is Stanley B. Resor Professor of Economics at the Cowles Foundation, Yale University.

Editorial Reviews

Review

"Shiller's book should be read by anyone with a serious interest in the functioning of markets." Richard A. Grasso , President and Chief Operating Officer, New York Stock Exchange

"A specter haunts modern economics: 'individual stocks perform random walks in efficient markets, but the level of the whole market displays no demonstrable efficiency.' Bob Shiller is the key economist in this great debate. Buy his book and think on its contents. Learn what the October 1987 crash was all about." Paul Samuelson , Institute Professor, MIT

About the Author

Robert J. Shiller is Arthur M. Okun Professor of Economics at Yale University. He is the author of Irrational Exuberance, Animal Spirits: How Human Psychology Drives the Economy and Why It Matters for Global Capitalism (with George B. Akerlof), and other books.

Product Details

• Paperback: 478 pages
• Publisher: The MIT Press (January 30, 1992)
• Language: English
• ISBN-10: 0262691515
• ISBN-13: 978-0262691512
• Product Dimensions: 9 x 6 x 1 inches
• Shipping Weight: 1.9 pounds (View shipping rates and policies)
• Average Customer Review: 3.7 out of 5 stars  See all reviews (6 customer reviews)
• Amazon Best Sellers Rank: #315,755 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

40 of 48 people found the following review helpful:

5.0 out of 5 stars The best book on volatility ever written!, August 23, 1998

By 

Scott Brown - See all my reviews

This review is from: Market Volatility (Paperback)

I am a futures trader/ stock investor/ produce distributor. My constant involvement in markets of one kind or another led me to develop a deep desire to understand volatility. Unfortunately the only books I could find dealt with option volatility. "Market Volatility" has been THE best book dealing with market mechanics that I have ever read. I recommend the book as a "must have" to my friends in the industry.

10 of 10 people found the following review helpful:

4.0 out of 5 stars Good but technical, May 14, 2007

By 

E. During (Wageningen, The Netherlands) - See all my reviews
(REAL NAME)   

This review is from: Market Volatility (Paperback)

There are some long reviews on the book by professionals that I can't match in content. However for readers interested in this book because of previous reading of 'irrational exuberance' or even 'the new financial order', be warned! It is a pretty technical book with lot's of statistics. Without basic knowledge of all the R's and covariances a lot of the true value gets lost. Still Robert Shiller is a clear thinker and even without a good grasp of teh statistics it still contains interesting observations.

2 of 3 people found the following review helpful:

4.0 out of 5 stars A low volatility review, April 23, 2009

By 

Jeff Borack - See all my reviews

This review is from: Market Volatility (Paperback)

I give this book 4/5 stars despite the fact that it appears to deserve full credit because a) I'm not smart enough to fully understand Shiller's work, and b) the average book should earn around 3 stars. By recognizing my own lack of understanding, I admit that portions of Shiller's analysis which appear to be both interesting and correct, could in fact be wrong or misleading and therefore less deserving of stars. My lack of understanding creates volatility in my rating ability. By averaging my belief that this book is worth 5 stars with the long-run average review of 3 stars, I should reduce the expected error and volatility in my book reviews.

The book is very interesting if you like this sort of thing, but it's also a very challenging read. My background in finance is stronger than my background in math and statistics, so I usually had to read the book with wikipedia nearby to reference math terms. Even with wikipedia, the equations got too hairy for me to follow with less than 100% concentration. I found myself flipping back pages almost as often as I moved forward, and there were parts I had to just skip over. If you read this book be ready for a serious challenge. Caveat emptor.

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