| Irrational Exuberance [E-BOOK: ADOBE READER] von Robert J. Shiller | ||||||||||||||
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Speculating on a Bubble • • • • • (bewertet mit 3 von 5 Punkten) Speculating on a Bubble Taking his cue from Federal Reserve Chairman Alan Greenspan, Yale economics professor Robert Shiller delivers a dirge for the longest-running bull market in American history. Irrational Exuberance tells the reader why today's market is overvalued, how it got that way, and what policymakers should do about it. Along the way, he takes some well-aimed swipes at efficient markets and so-called rational expectations. These latter theories, derived by (and largely confined to) academia, would have us believe that investors always behave rationally and that stock prices always reflect all pertinent information. Professor Shiller is well known for his research into behavioral finance, including his many surveys seeking to uncover the thought processes of today's investors, both individual and institutional. It is understandable, then, that the bulk of the book, and its strongest part, concerns the ways and means by which human behavior, irrespective of economic fundamentals, leads to stock market bubbles. Peer pressure, herding, emotions such as regret and envy, perceptions shaped by personal contacts and by the media, all contribute to a psychological "positive feedback" loop whereby high stock prices beget still higher stock prices. My gripe with the book relates to Professor Shiller's downgrading of the role played by mechanical "positive feedback" dynamic hedging strategies which are based on academic, Nobel Prize winning theories on the pricing of derivatives. Shiller states (p. 93) that these strategies are of interest to us "only because it shows us concretely how people's thinking can change in ways that alter the manner in which feedback from stock price changes affects further stock price changes, thereby creating possible price instabilities." My book, Capital Ideas and Market Realities (Blackwell, 1999), finds, after a thorough review of the role of dynamic hedging in the 1987 crash and in the volatility in the 1990s, including the downfall and Federal Reserve brokered rescue of the giant arbitrage hedge fund Long-Term Capital Management, that such trading strategies can be crucial elements in both stock market bubbles and stock market crashes. Rather than being merely symptomatic of a psychological feedback loop, such trading mechanisms create their own positive feedback loops, as well as crystallizing and amplifying some of the psychological factors cited by Professor Shiller. Others may consider of greater consequence the book's failure to address the "two tier" nature of today's market-the so-called "new economy"/"old economy" schism. This is particularly troubling because much of Professor Shiller's quantitative evidence of over-exuberance in market pricing rests on various measures of corporate dividends-which, of course, are notoriously shunned by most "new economy" companies. As the book's overall argument can be (simplistically) summarized as "the future will eventually repeat the past," I would have liked to see him grapple more explicitly with what appear to be real qualitative differences between past and present. I liked Professor Shiller's concluding summary of solutions and issues for investors and policy-makers. Some of these, including his thoughts on Social Security and on the need for diversification and diversifying investment vehicles, deserve to be brought to the forefront of public debate. It would also help matters if, as Professor Shiller suggests, the so-called "experts," as well as the media generally, raised the level of public discourse on the stock market and the economy-issues critical to all of us, whether we are investors or not. Bruce I. Jacobs (cimr@jlem.com), Principal, Jacobs Levy Equity Management, and author of Capital Ideas and Market Realities (Blackwell, 1999). --Dieser Text bezieht sich auf eine andere Ausgabe: Unbekannter Einband. Eine Rezension von Bruce I Jacobs aus Roseland, New Jersey, USA
vom 25. März 2000 | ||||||||||||||
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