| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23554 |
| 来源ID | Working Paper 23554 |
| Stock Volatility and the Great Depression | |
| Gustavo S. Cortes; Marc D. Weidenmier | |
| 发表日期 | 2017-07-03 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23554 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581228 |
| 推荐引用方式 GB/T 7714 | Gustavo S. Cortes,Marc D. Weidenmier. Stock Volatility and the Great Depression. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23554.pdf（1922KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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