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1、ReviewofEconomicStudies(1991)58,529-5460034-6527/91/00320529$02.00©1991TheReviewofEconomicStudiesLimitedSpeculativeDynamicsDAVIDM.CUTLERMITJAMESM.POTERBAMITandNBERandLAWRENCEH.SUMMERSHarvardUniversityandNBERFirstversionreceivedJanuary1990;finalversionacceptedFebru
2、ary1991(Eds.)Thispaperpresentsevidenceonthecharacteristicspeculativedynamicsofreturnsonstocks,bonds,foreignexchange,realestate,collectibles,andpreciousmetals.Ithighlightsfourstylizedfacts.First,returnstendtobepositivelyseriallycorrelatedathighfrequency.Second,they
3、areweaklynegativelyseriallycorrelatedoverlonghorizons.Third,deviationsofassetvaluesfromproxiesforfundamentalvaluehavepredictivepowerforreturns.Fourth,shortterminterestratesarenegativelycorrelatedwithexcessreturnsonotherassets.Thesimilarityoftheresultsacrossmarkets
4、suggeststhattheymaybeduetoinherentfeaturesofthespeculativeprocess.Manyrecentstudieshaverejectedthehypothesisofconstantexantereturnsinavarietyofdifferentspeculativemarkets.ThereisevidencethatstockreturnsfortheUnitedStatesareweaklyseriallycorrelated,thatdividendyiel
5、dshavepredictivepowerforreturns,thattheslopeoftheyieldcurvepredictslong-termbondreturns,thatinterestratespreadspredictexcessreturnsintheforeignexchangemarket,andmorecontroversially,thatassetmarketsdisplayexcessvolatility.Researchattemptingtoexplainthesefindingshas
6、eitherchallengedthestatisticalbasisofrejectionsoftheconstantrequiredreturnmodel,orsoughttoexplainvaryingriskpremiawithchangingriskfactors.Analternativeviewisthatvariationsinexantereturnsandassetmarketvolatilityariseprimarilyfromwhatwehaveelsewherelabelled"speculat
7、ivedynamics"—interac-tionsbetweendifferenttypesoftraders,someofwhomarenotrationalintheconventionalsenseoftradingonthebasisofallpubliclyavailableinformation.Distinguishingconclus-ivelybetweenthespeculativedynamicsviewandtheconventionalviewofassetmarketfluctuationsi
8、sinherentlyverydiflBcult,giventhelimitedamountofdataonassetreturnsandthedifficultyofsatisfactorilyproxyingforriskfactors.Thispaperextendsourresearchonsp
