Measuring Bubble Expectations and Investor Confidence

By Robert J. Shiller. 2000

397 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3ffb6fee5adb7f937901526944f74cabbf4f6f8c

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Citations in the corpus

Assessing the impact of fair value upon financial crises (2007, background): “A significant fraction of the theoretical literature (Keynes, 1936; Orléan, 1990; 2004; Shiller, 1999; 2000) shows that the conjunction of radical uncertainty and a large liquidity of financial market generates the succession of speculative bubbles that regularly burst out.”
Investor Psychology and Asset Pricing (2001, neutral): “Instead, natural selection has designed minds that implement rules of thumb (`algorithms', `heuristics', or `mental modules') selectively to a subset of cues (see Simon (1956)).”
Identifying impediments to SRI in Europe: a review of the practitioner and academic literature (2008, background): “Informational inefficiencies, systematic mispricing and investor credulity, ignorance or limited attention make investors subject to fads (Shiller 2000), overtrading (De Bondt & Thaler 1995) and manipulation by interest groups such as brokers, analysts and advisors (Daniel et al.”
Who Drove and Burst the Tech Bubble (2011, neutral): “1 Using data from 1871 to 2000, Shiller (2000) shows that in real terms the S&P 500 price run-up from 1992 to 2000 is even larger than the 1920s run-up, and the January 2000 price/earnings (P/E) multiple (using the prior 10-year earnings) of 44 exceeds the September 1929 P/E ratio of 33.”
Presidential Address: Social Transmission Bias in Economics and Finance (2020, neutral): “Examples include sudden religious revivals, surges in the vilification of political enemies, ethnic groups, and foreign countries, and price bubble episodes (as recounted in Shiller (2000a)).”
Credit-Market Sentiment and the Business Cycle (2017, neutral): “In column (2) of Table 2, we replace ∆ŝt with the fitted stock-market return, r̂ SP t , and, following Shiller (2000), use the log of the cyclically adjusted price-earnings ratio as of t− 2 (ln[P/E10]t−2) as the predictor for rSPt .”
Weather-Induced Mood, Institutional Investors, and Stock Returns (2015, background): “14 Adetailed overview of the survey is described by Shiller, Kon-Ya and Tsutsui (1996) and Shiller (2000).Additional information can be found at the International Center for Finance web site (icf.”
Investor Perceptions of Financial Misconduct: The Heterogeneous Contamination of Bystander Firms (2015, background): “…to examine investors’ “confidence as to whether the U.S. stock market would allow them to meet their long-term financial goals” (Dreman, Johnson, MacGregor, & Slovic, 2001: 130), and has largely concerned itself with investors’ excessive optimism (e.g.,“irrational exuberance”; Shiller, 2000; 2002).”
Good Day Sunshine: Stock Returns and the Weather (2003, neutral): “Some previous work emphasizes the dynamics of the social transmission of popular attitudes and theories (see, e.g., Shiller (1984, 2000a)).”