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Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms
Bordo, Michael D. - 2011
This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...
Persistent link: https://www.econbiz.de/10013127756
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New Evidence on the First Financial Bubble
Frehen, Rik - 2015
these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior … examine a broad cross‐section of security price data to evaluate the causes of the bubbles. Using newly collected stock prices … in 1720. Our findings are consistent with the hypothesis that financial bubbles require a plausible story to justify …
Persistent link: https://www.econbiz.de/10013039339
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Flights to Safety
Baele, Lieven - 2013
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...
Persistent link: https://www.econbiz.de/10013081241
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Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704
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Offshore Investment Funds : Monsters in Emerging Markets?
Kim, Woochan; Wei, Shang-Jin - 2021
The 1997-99 financial crises in the emerging markets have brought to the foreground the concern about offshore investment funds and their possible role in exacerbating volatility in the markets they invest in. Offshore investment funds are alleged to engage in trading behaviors that are...
Persistent link: https://www.econbiz.de/10013221512
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Stock Volatility During the Recent Financial Crisis
Schwert, G. William - 2011
This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting...
Persistent link: https://www.econbiz.de/10013126204
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Extrapolation and Bubbles
Barberis, Nicholas - 2016
We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by … about fundamentals can trigger large price bubbles. We analyze the patterns of cash-flow news that generate the largest … bubbles, the reasons why bubbles collapse, and the frequency with which they occur. The model also predicts that bubbles will …
Persistent link: https://www.econbiz.de/10012999974
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Advisors and Asset Prices : A Model of the Origins of Bubbles
Scheinkman, José - 2007
We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors …
Persistent link: https://www.econbiz.de/10012775799
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Measuring Bubble Expectations and Investor Confidence
Shiller, Robert J. - 2010
This paper presents evidence on attitude changes among investors in the US stock market. Two basic attitudes are explored: bubble expectations and investor confidence. Semiannual time-series indicators of these attitudes are presented for US stock market institutional investors based on...
Persistent link: https://www.econbiz.de/10012763808
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Riding the Bubble? Chasing Returns into Illiquid Assets
Yagan, Danny - 2014
Household investors chase stock market returns. Surveys suggest that households intend to "ride the bubble" by buying stocks early in a boom and selling stocks early in a bust. This implies that households use only liquid assets to chase returns. I test this prediction using inflows to fixed...
Persistent link: https://www.econbiz.de/10013049679