耶鲁-Robert Shiller-金融市场-Lect23-股票市场Stock Market Booms and Crashes.pptVIP

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耶鲁-Robert Shiller-金融市场-Lect23-股票市场Stock Market Booms and Crashes.ppt

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耶鲁-Robert Shiller-金融市场-Lect23-股票市场Stock Market Booms and Crashes.ppt

Lecture 23: Stock Market Booms and Crashes Brief History of Booms and Crashes For hundreds of years, speculative markets have undergone dramatic ups and downs, that appear irrational to many observers Tulipmania, 1630s, Holland Mississippi Scheme, 1720, France, John Law’s Mississippi Company had monopoly of trading for province of Louisiana. South Sea Bubble 1720, England, South Sea Company had British monopoly on trade in South Seas Up-Crashes Popular view that markets rise slowly and crash suddenly is overblown January 3, 2001, Nasdaq went up 14% in one day, following rate cut October 6, 1931, Dow went up 14.87% following President Hoover’s plan for economic recovery Biggest 1-day crash October 19, 1987 Dow fell 22.6%, much larger than largest upcrash, but also twice as big as next largest downcrash Mackay vs. Garber David Mackay, Extraordinary Popular Delusions and the Madness of Crowds, 1841, popularized these stories of bubbles Peter Garber, Famous First Bubbles, 2000, said Mackay’s bubble stories were not inconsistent with perfect investor rationality Efficient Markets Hypothesis Stock market level is always unforecastable, not inconsistent with crashes Volatility may be forecastable, and in that sense crashes may be forecastable Efficient markets hypothesis denies the Mackay theory that something fundamentally irrational is going on in booms and crashes Fundamental disagreement in the finance profession about how to model markets Irrational Exuberance The Stock Market in Historical Perspective Part 1: Structural Factors Part 2: Cultural Factors Part 3: Psychological Factors Part 4: Attempts to Rationalize Exuberance Part 5: Tension between Efficient Markets Theory and Financial Innovation The Next Few Decades The Stock Market in Historical Perspective SP500 Jan 1871-Feb 2004 SP 500 Price/(10-Year Earnings)Jan 1881-Feb 2004 Nikkei Index, Jan 1984-Feb 2004 Germany Dax Nov. 1990 – Nov. 2003 UK FTSE 100 April 1984-Nov. 2003 France CAC 40March 1990- Nov. 2