文档介绍：Stock Price Volatility in a
Multiple Security
Overlapping Generations
Model
Matthew Spiegel
University of California, Berkeley
A number of empirical studies have reached the
conclusion that stock price volatility cannot be
fully explained within the standard dividend dis-
count model. This article proposes a resolution
based upon a model that contains both a random
supply of risky assets and finitely lived agents
who trade in a multiple security environment.
As the analysis shows there exist 2K equilibria
when K securities trade. The low volatility equi-
libria have properties analogous to those found
in the infinitely lived agent models of Campbell
and Kyle (1991) and Wang (1993, 1994). In con-
trast, the high-volatility equilibria have very
different characteristics. Within the high-vola-
tility equilibria very large price variances can be
generated with very small supply shocks. Adding
securities to the economy further reduces the
required supply shocks. Using previously estab-
lished empirical results the model can reconcile
the data with supply shocks that are less than
10% as large as observed return shocks. These
results are shown to hold even when the dividend
process is mean reverting.
The author thanks Franklin Allen (the editor), Will Goetzmann, Eric High-
son, Hayne Leland, Phil Reny, Andrew Rose, Robert Shiller, and an anony-
mous referee for their time ments. Special thanks are due to Simon
Gervais. I also wish to acknowledge ments from seminar partici-
pants at UCLA, the University of Florida at Gainesville, Stanford University,
Washington University, the Wharton School, and those at Western Finance
Association’s 1996 meeting. All errors remain the author’s. Address corre-
spondence and reprint requests to Matthew Spiegel, University of Califor-
nia, Berkeley, Haas School of Business, S545 Student Services Building,
#1900, Berkeley, CA 94720-1900, or e-mail: ******@.
The Review of Financial Studie