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Market depth, leverage, and speculative bubbles
Enders, Zeno; Hakenes, Hendrik - 2017
We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …
Persistent link: https://www.econbiz.de/10011780495
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Diverse risk preferences and heterogeneous expectations in an asset pricing model
Gomez, Thomas; Piccillo, Giulia - 2019
busts in the asset price without exogenous shocks. Small, stochastic price shocks lead to larger asset price bubbles, and …
Persistent link: https://www.econbiz.de/10012157926
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Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading
Farjam, Mike; Kirchkamp, Oliver - 2015
Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments … smaller bubbles if human traders expect algorithmic traders to be present. …
Persistent link: https://www.econbiz.de/10011392621
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10012416151
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How accurate are modern value-at-risk estimators derived from extreme value theory?
Auer, Benjamin R.; Mögel, Benjamin - 2016
derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …
Persistent link: https://www.econbiz.de/10011587888
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Bitcoin and web search query dynamics : is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...
Persistent link: https://www.econbiz.de/10012026340
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Inside the mind of a stock market crash
Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - 2020 - First draft: April 4th 2020, this draft: May 21, 2020
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at...
Persistent link: https://www.econbiz.de/10012224226
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Monetary policy with diverse private expectations
Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - 2015 - This version, January 26, 2015
We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...
Persistent link: https://www.econbiz.de/10010496147
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
between asset price bubbles and financial crises. I evaluate the key studies with the respect to the following questions. To … what extent do the empirical relations in the existing literature help to identify asset price bubbles ex-ante or ex …
Persistent link: https://www.econbiz.de/10003936616
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011674278