Excess Stock Price Volatility as a Misspecified Euler Equation
分析认为，Shiller等人发现的股价过度波动并非源于投机泡沫，而是由于简单现值模型设定错误，并用市场指数和四家大公司数据验证了这一假设。
Speculative bubbles have been offered to explain the excess volatility results by Shiller (1981) and LeRoy and Porter (1981). Recent work by Flood, Hodrick, and Kaplan has shown that rational speculative bubbles cannot be the explanation for the excess volatility results. This paper provides an analytical framework for examining the hypothesis that the simple present value model used for the excess volatility studies is a misspecification of the true model. The method is applied to data from a market index and four large corporations. The results are consistent with the hypothesis that the simple present value model is not the correct specification for stock market pricing.