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Inexperienced Investors and Bubbles
Greenwood, Robin - 2008
a role in the formation of asset price bubbles. Using age as a proxy for managers' investment experience, we find that …
Persistent link: https://www.econbiz.de/10012464534
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Land Speculation and Wobbly Dynamics with Endogenous Phase Transitions
Hirano, Tomohiro; Stiglitz, Joseph E. - National Bureau of Economic Research - 2022
This paper examines the global macro-dynamics of an OLG model with capital and land with rational expectations. Through the interactions between capital accumulation and land prices, the economy experiences phase transitions, endogenously moving back and forth from situations with unique and...
Persistent link: https://www.econbiz.de/10012938714
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Monetary Policy and Bubbles in a New Keynesian Model with Overlapping Generations
Galí, Jordi - 2020
rational expectations equilibria with asset price bubbles. I study the conditions under which bubble-driven fluctuations may …
Persistent link: https://www.econbiz.de/10012479320
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The Macroeconomics of Financial Speculation
Simsek, Alp - National Bureau of Economic Research - 2021
-selling constraints, speculation can generate over- valuation and speculative bubbles. Leverage can substantially inflate speculative … bubbles and leverage limits depend on perceived downside risks. Shifts in beliefs about downside tail scenarios can explain … the emergence and the collapse of leveraged speculative bubbles. Speculative bubbles are related to rational bubbles, but …
Persistent link: https://www.econbiz.de/10012482642
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Asset Pricing in the Quest for the New El Dorado
Andrei, Daniel - 2017
be used to predict bubbles ex ante …
Persistent link: https://www.econbiz.de/10012455226
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
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Turnover Liquidity and the Transmission of Monetary Policy
Lagos, Ricardo - 2018
We provide empirical evidence of a novel liquidity-based transmission mechanism through which monetary policy influences asset markets, develop a model of this mechanism, and assess the ability of the quantitative theory to match the evidence
Persistent link: https://www.econbiz.de/10012480757
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Cross-sectional Skewness
Oh, Simon - 2018
This paper evaluates skewness in the cross-section of stock returns in light of predictions from a well-known class of models. Cross-sectional skewness in monthly returns far exceeds what the standard lognormal model of returns would predict. However, skewness in long-run returns substantially...
Persistent link: https://www.econbiz.de/10012480764
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Volatility Expectations and Returns
Lochstoer, Lars A. - 2020
We provide evidence that agents have slow-moving beliefs about stock market volatility that lead to initial underreaction to volatility shocks followed by delayed overreaction. These dynamics are mirrored in the VIX and variance risk premiums which reflect investor expectations about volatility...
Persistent link: https://www.econbiz.de/10012482321
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Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance
Das, Sanjiv Ranjan - 1997
It is widely acknowledged that many financial markets exhibit a considerably greater degree of kurtosis (and sometimes also skewness) than is consistent with the Geometric Brownian Motion model of Black and Scholes (1973). Among the many alternative models that have been proposed in this...
Persistent link: https://www.econbiz.de/10012472845