Economics at your fingertips  

Revisiting Shiller’s excess volatility hypothesis

Dooruj Rambaccussing ()

No 2015-82, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: One of the cornerstone of financial anomalies is that there exists money making opportunities. Shiller's excess volatility theory is re-investigated from the perspective of a trading strategy where the present value is computed using a series of simple econometric models to forecast the present value. The results show that the excess volatility may not be exploited given the data available until time t. However, when learning is introduced empirically, the simple trading strategy may offer profits, but which are likely to disappear once transaction costs are considered.

Keywords: Present Value; Excess Volatility (search for similar items in EconPapers)
Date: 2015-02
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().

Page updated 2021-01-14
Handle: RePEc:edn:sirdps:690