TY  - JOUR
AU  - Long,J. Bradford De
AU  - Becht,Marco
TI  - "Excess Volatility" and the German Stock Market, 1876-1990
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4054
PY  - 1992
Y2  - April 1992
UR  - http://www.nber.org/papers/w4054
L1  - http://www.nber.org/papers/w4054.pdf
N1  - Author contact info:
J. Bradford DeLong
Department of Economics
601 Evans Hall
University of California, Berkeley
Berkeley, CA 94720-3880
Tel: 510/643-4027
Fax: 510/642-6615
E-Mail: delong@econ.berkeley.edu

Marco Becht
ECARES
Universite Libre de Bruxelles, CP 114
Av. F. D. Roosevelt 50
1050 Brussels, BELGIUM
Tel: +32-2-6504466
E-Mail: mbecht@ecgi.org
AB  - This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989).  It tries to determine in what periods and to what degree the German stock market has also possessed  excess volatility' in the past century.  It finds no evidence of excess volatility in the pre-World War I German stock market.  By contrast, there is some evidence of excess volatility in the post-World War II German stock market.  The role played by the German Grosbanken in the pre-World War I stock market might be the cause of low comparative volatility of German stock indices before 1914.
ER  -