Review of Market Volatility by Robert Shiller:

Much Ado About . . . Very Little


G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research


Journal of Portfolio Mangement, 17 (Summer 1991) 74-78.

This paper reviews the methods and results that are common to Shiller's work, including a discussion of the important criticisms that exist in the literature. It also identifies the important implications (or the lack thereof) of Shiller's work for financial practitioners. Finally, it specualtes about why Shiller has become a guru in some segments of the financial community (as well as for frustrated macroeconomic policymakers).

Key words: Market Efficiency, Volatility, Present Value Models

JEL Classifications: G14


Cited 7 times in the SSCI and SCOPUS through 2014
© Copyright 1991, JPM
The following file contains the reprint of this paper in Acrobat's portable data format (.pdf). The file is about 380 KB and can only be viewed (and printed) using a copy of Acrobat Reader or Acrobat Exchange.

If you want the current version of the Adobe Acrobat Reader for other platforms, visit Adobe's web page by clicking the image below.

Click here to download this paper in PDF format.


Return to Publications Page

© Copyright 1998-2015, G. William Schwert

Last Updated on 2/26/2015