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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log…
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Cointegration and Tests of Present Value Models

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub…
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Stock Prices, Earnings and Expected Dividends

Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871-1986), a vector-autoregressive forecast of the present…
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The Efficiency of the Market for Single-Family Homes

Tests of weak-form efficiency of the market for single family homes are performed using data on repeat sales prices of 39,210 individual homes, each for two sales dates. Tests were done for Atlanta,…
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Comparing Wealth Effects: The Stock Market versus the Housing Market

We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years…
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Is There a Bubble in the Housing Market?

This paper looks for evidence of a bubble in U.S. housing prices. It analyzes quarterly state-level data over 1985-2002, focusing on the relationship between home prices and selected fundamental…
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Prices of Single Family Homes Since 1970: New Indexes for Four Cities

This paper uses data on nearly a million homes sold in four metropolitan areas -- Atlanta, Chicago, Dallas and San Francisco -- to construct quarterly indexes of existing home prices between 1970 and…
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Stock Prices and Social Dynamics

The empirical evidence that is widely interpreted as supporting the efficient markets theory in finance actually does not rule out the possibility that changing fashions or fads among investors have…
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Valuation Ratios and the Long-Run Stock Market Outlook

The use of price–earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for…
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Irrational Exuberance Ed. 2

In this timely and prescient update of his celebrated 2000 bestseller Irrational Exuberance, Robert J. Shiller returns to the topic that gained him international fame: market volatility. Shiller…
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