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Asset prices, monetary policy, and bank regulation

Shiller, Robert J. - Federal Reserve Bank of Chicago - 2006

Persistent link: https://www.econbiz.de/10010723735

Index-Based Futures and Options Markets in Real Estate

Case, Karl E.; Shiller, Robert J.; Weiss, Allan N. - Cowles Foundation for Research in Economics, Yale University - 1991

Most institutional and individual portfolios are very undiversified in real estate: many hold no real estate at all, many have holdings highly concentrated in certain regions or types of real estate. The risk of these concentrated holdings is not hedged. We propose here that cash-settled futures...

Persistent link: https://www.econbiz.de/10005593586

Chapter 20 Human behavior and the efficiency of the financial system

Shiller, Robert J. - In: Handbook of macroeconomics : volume 1, part C, (pp. 1305-1340). 1999

Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology, and anthropology. The behavioral principles discussed are: prospect theory, regret and cognitive dissonance, anchoring, mental...

Persistent link: https://www.econbiz.de/10014024220

Valuation Ratios and the Long-run Stock Market Outlook: An Update

Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2001

The use of price-earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...

Persistent link: https://www.econbiz.de/10005762739

The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2005

The life-cycle accounts proposal for Social Security reform has been justified by its proponents using a number of different arguments, but these arguments generally involve the assumption of a high likelihood of good returns on the accounts. A simulation is undertaken to estimate the...

Persistent link: https://www.econbiz.de/10005762740

Investor Behavior in the 1987-10 Stock Market Crash: Survey Evidence

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1987

Questionnaires were sent out at the time of the October 19, 1987 stock market crash to both individual and institutional investors inquiring about their behavior during the crash. Nearly 1000 responses were received. The survey results show that: 1. No news story or rumor appearing on the 19th...

Persistent link: https://www.econbiz.de/10005593390

Historic Turning Points in Real Estate

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2007

home prices, changes in public interpretation of the boom, as well as evidence of supply response to the high prices of a …

Persistent link: https://www.econbiz.de/10005463853

Actual and Warranted Relations Between Asset Prices

Beltratti, Andrea E.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1991

fundamental value. These models do not imply, however, that the covariance between two asset prices is given by the covariance … possible to place bounds on the covariance between asset prices given the covariance matrix of ex-post values. We present such …

Persistent link: https://www.econbiz.de/10005463944

Bubbles, Human Judgment, and Expert Opinion

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2001

Research in psychology and behavioral finance is surveyed for evidence to what extent experts such as professional investment managers or endowment trustees may behave in such a way as to help perpetuate speculative bubbles in financial markets. This paper discusses scholarly psychological...

Persistent link: https://www.econbiz.de/10005464061

Stock Prices, Earnings and Expected Dividends

Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1988

information contained in stock prices is taken into account. We estimate that for each year the optimal forecast of the present … 2/3 and 3/4 of the weight on the earnings measure. This means that simple present value models of stock market prices … the behavior of stock prices and returns. We estimate that log dividend-price ratios are more variable than, and virtually …

Persistent link: https://www.econbiz.de/10005249149