Dundee Discussion Papers in Economics 287: Revisiting Shiller’s excess volatility hypothesis

    Research output: Working paper/PreprintDiscussion paper

    34 Downloads (Pure)

    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.
    Original languageEnglish
    PublisherUniversity of Dundee
    Number of pages24
    Publication statusPublished - Feb 2015

    Publication series

    NameDundee Discussion Papers in Economics
    PublisherUniversity of Dundee
    No.287
    ISSN (Print)1473-236X

    Keywords

    • Present Value
    • Excess Volatility

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)
    • Economics and Econometrics
    • Finance

    Fingerprint

    Dive into the research topics of 'Dundee Discussion Papers in Economics 287: Revisiting Shiller’s excess volatility hypothesis'. Together they form a unique fingerprint.

    Cite this