Review of Market Volatility by Robert Shiller:
Much Ado About . . . Very Little
G. William Schwert
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Journal of Portfolio Mangement, 17 (Summer 1991) 74-78.
This paper reviews the methods and results that are common to Shiller's
work, including a discussion of the important criticisms that exist in the
literature. It also identifies the important implications (or the lack thereof)
of Shiller's work for financial practitioners. Finally, it specualtes about
why Shiller has become a guru in some segments of the financial community
(as well as for frustrated macroeconomic policymakers).
Key words: Market Efficiency, Volatility, Present Value Models
JEL Classifications: G14
Cited 7 times in the SSCI and SCOPUS through 2020
© Copyright 1991, JPM
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