annual US stock price data from 1871 until 2003. The estimation results support the existence of two expectation regimes. One …

speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …

This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a … asset bubbles can form which exactly offset a bubble in household liabilities. Surprisingly, evidence from a VAR using long …-run restrictions supports the idea that asset bubbles are approximately neutral in their real effects before 2007. The evidence becomes …

occasions were the so-called 1929 and 2000 bubbles. The models showed that, at some point in time before the peak in (real …

determine whether the seasonality can be explained using a conditional version of the capital asset pricing model (CAPM) that … United Kingdom, Japan, and Australia, the authors find that a conditional CAPM that allows the price of risk to vary in …

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …

reswitching activities and short-term thinking of bounded rational investors. Negative bubbles (market prices lower than … fundamentals) tend to occur if active portfolio managers exhibit high risk aversion, but are less frequent than positive bubbles. …

conventional unit root tests in modified forms can be used to construct early warning indicators for bubbles in financial markets … 1871, they are able to signal most of the consensus bubbles, defined as stock market booms for example by the IMF, and they … bubbles from the data. Finally, these early warning indicators are applied to data for several housing markets. In most of the …