Stock Volatility and the Great Depression

Gustavo Cortes and Marc Weidenmier ()

No 23554, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Stock return volatility during the Great Depression has been labeled a “volatility puzzle” because the standard deviation of stock returns was two to three times higher than any other period in American history (Officer, 1973; Wilson, Sylla, and Jones; 1990). We investigate the “volatility puzzle” using a new series of building permits, a forward-looking measure of economic activity. Our results suggest that the volatility of building permit growth largely explains the high level of stock volatility during the Great Depression. Markets factored in the possibility of a forthcoming economic disaster.

JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2017-06
New Economics Papers: this item is included in nep-his
Note: AP DAE
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published as Gustavo S Cortes & Marc D Weidenmier, 2019. "Stock Volatility and the Great Depression," The Review of Financial Studies, vol 32(9), pages 3544-3570.

Downloads: (external link)
http://www.nber.org/papers/w23554.pdf (application/pdf)

Related works:
Journal Article: Stock Volatility and the Great Depression (2019)
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: https://EconPapers.repec.org/RePEc:nbr:nberwo:23554

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w23554

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().