Chp4-1非理性繁荣.pptVIP

Irrational Exuberance Prof. Robert J. Shiller Yale University Outline Dimensions of Recent Stock Market Trends Origins of stock market bubble Precipitating factors Amplification mechanisms Cultural factors Conclusion 1. Dimensions of the Worldwide Stock Market Bubble Nasdaq Composite Oct. 1984-Nov. 2003 Nikkei, Japan Oct. 1984-Nov. 2003 Germany Dax Nov. 1990 – Nov. 2003 France CAC 40March 1990- Nov. 2003 SP Composite Historical Experience:Real Price and Earnings Monthly Jan. 1871 to Nov. 2003 SP Price-Earnings Ratio(Price over 10-Year Lagging Earnings, Jan. 1881-Nov. 2003) P/E Predicts 10-Year Returns 2. Origins of the Stock Market Bubble Feedback Models Precipitating Factors Amplification Mechanisms Psychological factors Cultural Factors Precipitating Factors as given in Irrational Exuberance, 2000 The World Wide Web Triumphalism Culture Favoring Business Success Republican Congress Capital Gains Taxes Baby Boom Media Expansion Optimistic Analysts 401(k) Plans Rise of Mutual Funds Decline of Inflation Expanding Volume of Trade Rise of Gambling Opportunities Amplification Mechanisms Price-to-price Price-to-gdp-to-price Price-to-earnings-to-price Culture and the Media Amplification substantially through news media “New era” stories Information cascades Attention Anomalies Importance of attention mechanisms, William James 1890 Social basis for attention Attention cascades in the media Analogy to human conversation: drift of topic Amplification through Confidence “The stock market is the best investment for long-term holders, who can just buy and hold through the ups and downs of the market.” 1996 1999 2000 2001-2 2002 2003 1. Strongly agree 69% 76% 63% 60% 46% 39% 2. Agree somewhat 25% 20% 34% 31% 40% 44% 3. Neutral 2% 2% 2% 3% 5% 8% 4. Disagree somewhat 2% 1% 1% 5% 8% 5% 5. Strongly disagree 1% 1% 0% 1% 2% 5% (Individual investors) 3. Conclusion Stock market movements of the 1990s virtually unprecedented Cau