Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation
总结并解读了Leroy、Porter和Shiller引发的股价波动性文献，发现小样本偏差、理性泡沫和标准预期收益模型均无法充分解释股价波动，暗示非标准模型（如噪声交易者驱动的时尚模型）可能发挥作用，但目前缺乏直接证据。
ABSTRACT This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter [28] and Shiller [40] . It appears that neither small‐sample bias, rational bubbles nor some standard models for expected returns adequately explain stock price volatility. This suggests a role for some nonstandard models for expected returns. One possibility is a “fads” model in which noise trading by naive investors is important. At present, however, there is little direct evidence that such fads play a significant role in stock price determination.