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1
Liquidity Shocks and Stock
Bubbles
Nneji, Ogonna
-
2014
market
bubbles
. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase … the probability of stock market
bubbles
collapsing. Second, market liquidity has a more prevalent effect on stock
bubbles
…
Persistent link: https://www.econbiz.de/10013063524
Saved in:
2
Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina
;
Lux, Thomas
-
2021
We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...
Persistent link: https://www.econbiz.de/10012672178
Saved in:
3
Dectecting speculative
bubbles
in stock prices : a new approach and some evidence for the US
Bohl, Martin T.
;
Siklos, Pierre L.
-
2001
speculative
bubbles
and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …
Persistent link: https://www.econbiz.de/10010503717
Saved in:
4
Dectecting speculative
bubbles
in stock prices : a new approach and some evidence for the US
Bohl, Martin T.
;
Siklos, Pierre L.
-
2001
Persistent link: https://www.econbiz.de/10001617689
Saved in:
5
Expected lifetime range ratio to find mean reversion : evidence from Indian stock market
Shaik, Muneer
;
Maheswaran, S.
- In:
Cogent economics & finance
6
(
2018
)
1
,
pp. 1-23
We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...
Persistent link: https://www.econbiz.de/10011905649
Saved in:
6
The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
Kuryłek, Wojciech
- In:
Journal of banking and financial economics
19
(
2023
)
1
,
pp. 26-43
The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...
Persistent link: https://www.econbiz.de/10014285928
Saved in:
7
Periodically collapsing
bubbles
in stock prices cointegrated with broad dividends and macroeconomic factors
Fu, Man
;
Bidarkota, Prasad V.
- In:
Journal of risk and financial management : JRFM
4
(
2012
)
1
,
pp. 97-132
-Fuller test reveals existence of periodically collapsing
bubbles
in S&P 500 data during the late 1990s. …
Persistent link: https://www.econbiz.de/10011555939
Saved in:
8
Periodically Collapsing
Bubbles
in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
Fu, Man
-
2011
-Fuller test reveals existence of periodically collapsing
bubbles
in S&P 500 data during the late 1990s …
Persistent link: https://www.econbiz.de/10013119302
Saved in:
9
Intrinsic
Bubbles
and Fat Tails in Stock Prices : A Note
Bidarkota, Prasad V.
-
2019
dividend
stream is modeled as a random walk with innovations drawn from the family of stable distributions. We derive an exact …-driven intrinsic
bubbles
to explain the observed variation in annual U.S. stock prices. We compare results obtained in this setting …
Persistent link: https://www.econbiz.de/10012889782
Saved in:
10
Intrinsic
Bubbles
in Stock Prices Under Persistent
Dividend
Growth Rates
Awwal, Faisal M.
-
2019
We extend the constant discount factor model with intrinsic
bubbles
developed in Froot and Obstfeld (1991) to account … for serial correlation in
dividend
growth rates. We derive an exact analytical expression for both the present value stock … price and an intrinsic bubble component when
dividend
growth rates evolve as a Gaussian first-order autoregressive process …
Persistent link: https://www.econbiz.de/10012894388
Saved in:
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