Lecture 6 - Efficient Markets vs. Excess Volatility

author: Robert J. Shiller, Department of Economics, Yale University
recorded by: Yale University
published: Oct. 7, 2009,   recorded: March 2008,   views: 5119
released under terms of: Creative Commons Attribution No Derivatives (CC-BY-ND)
Categories

See Also:

Download Video Download yaleecon252s08_shiller_lec06_01.flv (Video 246.6┬áMB)


Help icon Streaming Video Help

Related Open Educational Resources

Related content

Report a problem or upload files

If you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
Lecture popularity: You need to login to cast your vote.
  Bibliography

Description

Several theories in finance relate to stock price analysis and prediction. The efficient markets hypothesis states that stock prices for publicly-traded companies reflect all available information. Prices adjust to new information instantaneously, so it is impossible to "beat the market." Furthermore, the random walk theory asserts that changes in stock prices arise only from unanticipated new information, and so it is impossible to predict the direction of stock prices. Using statistical tools, we can attempt to test the hypotheses and to predict future stock prices. These tests show that efficient markets theory is a half-truth: it is difficult but not impossible for some people to beat the market.

Reading assignment:

Robert Shiller, Irrational Exuberance, chapters 10 and 11
David Swensen, Pioneering Portfolio Management, chapter 8
Jeremy Siegel, Stocks for the Long Run, chapters 3, 4, 5, 16, 17 and 18

Resources:

PowerPoint slides from screen - Lecture 6 [PDF]

Link this page

Would you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !

Reviews and comments:

Comment1 guest, February 6, 2010 at 12:35 p.m.:

is it just me or is this lecture not working? i mean i can't get it to play...

Write your own review or comment:

make sure you have javascript enabled or clear this field: