Stock Volatility and the Great Depression

• 成果类型: Article
• 署名作者: Cortes, Gustavo S.; Weidenmier, Marc D.
• 署名单位: State University System of Florida; University of Florida; Chapman University System; Chapman University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy134
• 发表日期: 2019
• 页码: 3544
• 关键词: index

摘要

Stock return volatility during the Great Depression has been labeled a volatility puzzle because the standard deviation of stock returns was 2 to 3 times higher than any other period in American history. We investigate this puzzle using a new series of building permits and leverage. Our results suggest that volatility in building permit growth and financial leverage largely explain the high level of stock volatility during the Great Depression. Markets factored in the possibility of a forthcoming economic disaster.