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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10004998593
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An Empirical Analysis of the Excessive Volatility-Overconfidence Relationship: Evidence from the Tunisian Stock Market
Feker, Bayoudh; Ali, Houfi Mohamed; Kais, Tissaoui; … - In: Asian Economic and Financial Review 2 (2012) 1, pp. 100-118
The purpose of this paper is to provide that the explanation of excessive volatility can be only done through an attentive description of the psychological aspects of the investors. Our interest is carried in particular to the overconfidence bias. Our objective in this study is to identify...
Persistent link: https://www.econbiz.de/10009654288
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Decision Making in the Stock Market: Incorporating Psychology with Finance
Chandra, Abhijeet - Volkswirtschaftliche Fakultät, … - 2008
The decision-making by individual investors is usually based on their age, education, income, investment portfolio, and other demographic factors. The impact of behavioural aspect of investing is, however, often ignored. The objective of this paper is to explore the impact of behavioural factors...
Persistent link: https://www.econbiz.de/10008562626
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Information Acquisition and Portfolio Performance
Guiso, Luigi; Jappelli, Tullio - C.E.P.R. Discussion Papers - 2006
Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the...
Persistent link: https://www.econbiz.de/10005123525
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Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
Norden, Simon van; Vigfusson, Robert - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 1, pp. 1-22
Our paper uses simulation methods to examine the size and power of regime-switching tests for bubbles. We find that … tests conservative; they understate the significance of the evidence of bubbles. Despite this, the tests display … considerable power to detect bubbles even when using the conservative asymptotic critical values. We also find that the frequency …
Persistent link: https://www.econbiz.de/10004966237
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With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression
Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2002
Asset price inflation presents central banks with a puzzle. I examine the case of Germany, 1925-7, when the Reichsbank intervened to bring down stock prices, rectify imbalances and curb speculation. Present value relations, comparisons with historical valuation measures and the time-series...
Persistent link: https://www.econbiz.de/10005792124
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Bubbles, Fundamentals, and Investment: A New Multiple Equation Specification Testing Strategy
Chirinko, Robert S.; Schaller, Huntley - Harris School of Public Policy, University of Chicago - 1992
if there are "bubbles", they may not distort real behaviour if managers base investment decisions on fundamentals. Using … decisions on fundamentals despite stock market bubbles. Three types of collateral evidence reinforce this interpretation. We …
Persistent link: https://www.econbiz.de/10005703888
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Fundamentals, Misvaluation, and Investment: The Real Story
Chirinko, Robert S.; Schaller, Huntley - CESifo - 2007
Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama-MacBeth regressions to determine whether "overinvestment"...
Persistent link: https://www.econbiz.de/10005766115
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Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
Norden, Simon van; Vigfusson, Robert - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 1, pp. 1-22
Our paper uses simulation methods to examine the size and power of regime-switching tests for bubbles. We find that … tests conservative; they understate the significance of the evidence of bubbles. Despite this, the tests display … considerable power to detect bubbles even when using the conservative asymptotic critical values. We also find that the frequency …
Persistent link: https://www.econbiz.de/10005046486
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Letting the speculative and the news views of the Japanese business cycle compete
Karnizova, Lilia - In: Economics Bulletin 33 (2013) 2, pp. 1146-1158
This note uses a dynamic stochastic general equilibrium model with direct preferences for financial wealth to explore how stock price booms and busts relate to the real side of the economy. It evaluates the 'speculative' (sunspots) and 'news' (anticipated future changes in productivity)...
Persistent link: https://www.econbiz.de/10010658620