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Stock Market Prices Do Not Follow Random Walks : Evidence From a Simple Specification Test
Lo, Andrew W. - 1987
In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of...
Persistent link: https://www.econbiz.de/10012476901
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Retirement and the Stock Market Bubble
Gustman, Alan L. - 2002
This paper specifies and estimates a structural dynamic stochastic model of the way individuals make retirement and saving choices in an uncertain world, and applies that model to analyze the effects of the stock market bubble on retirement behavior. The model includes individual variation both...
Persistent link: https://www.econbiz.de/10012469299
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The Effects of Monetary Policy on Stock Market Bubbles : Some Evidence
Gali, Jordi - 2014
"conventional" view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also …
Persistent link: https://www.econbiz.de/10012458683
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Boom-Busts in Asset Prices, Economic Instability, and Monetary Policy
Bordo, Michael D. - 2002
The link between monetary policy and asset price movements has been of perennial interest to policy makers. In this paper we consider the potential case for pre-emptive monetary restrictions when asset price reversals can have serious effects on real output. First, we provide some historical...
Persistent link: https://www.econbiz.de/10012469748
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Bubbles, Rational Expectations and Financial Markets
Blanchard, Olivier J. - 1982
This paper investigates the nature and the presence of bubbles in financial markets. Are bubbles consistent with … are some of the questions asked in the first three sections. The general conclusion is that bubbles, in many markets, are … consistent with rationality, that phenomena such as runaway asset prices and market crashes are consistent with rational bubbles …
Persistent link: https://www.econbiz.de/10012478162
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Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?
Miller, Marcus - 2010
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what Richard Koo calls a 'balance sheet recession'
Persistent link: https://www.econbiz.de/10012462797
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Was there a bubble in the 1929 Stock Market?
Rappoport, Peter - 1991
Standard tests find that no bubbles are present in the stock price data for the last one hundred years. In contrast …
Persistent link: https://www.econbiz.de/10012475403
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The Chinese Warrants Bubble
Xiong, Wei - 2009
supporting the resale option theory of bubbles: investors overpay for a warrant hoping to resell it at an even higher price to a …
Persistent link: https://www.econbiz.de/10012463168
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Credit Constraints and Stock Price Volatility
Hale, Galina - 2007
This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces the probability of oscillations between binding and non-binding states of the credit constraint; thereby lowering the rate of return variance. We test this prediction of a...
Persistent link: https://www.econbiz.de/10012465565
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Speculative Growth : Hints from the US Economy
Caballero, Ricardo - 2004
. The latter is more likely if bubbles develop along the expansionary path. These (rational) bubbles can emerge even when …
Persistent link: https://www.econbiz.de/10012468175