TY  - JOUR
AU  - West,Kenneth D.
TI  - Bubbles, Fads, and Stock Price Volatility Tests:  A Partial Evaluation
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2574
PY  - 1989
Y2  - October 1989
UR  - http://www.nber.org/papers/w2574
L1  - http://www.nber.org/papers/w2574.pdf
N1  - Author contact info:
Kenneth D. West
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI  53706
Tel: 608/262-0033
Fax: 608/262-2033
E-Mail: kdwest@wisc.edu
AB  - This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter (1981) and Shiller (1981a). It appears that neither small sample bias, rational bubbles nor some standard models for expected returns adequately explain stock price volatility. This suggests a role for some nonstandard models for expected returns. One possibility is "fads" models in which noise trading by naive investors is important. At present, however, there is little direct evidence that such fads play a significant role in stock price determination.
ER  -