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Crude oil : commodity or financial asset?
Kolodziej, Marek; Kaufmann, Robert Kurt; Kulatilaka, Nalin - In: Energy economics 46 (2014), pp. 216-223
Persistent link: https://www.econbiz.de/10011298597
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Predicting equity premium by conditioning on macroeconomic variables : a prediction selection strategy using the price of crude oil
Nonejad, Nima - In: Finance research letters 41 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10013335945
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Bubbles, crashes and risk
Branch, William A.; Evans, George W. - 2013
Persistent link: https://www.econbiz.de/10010241562
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A model of financial bubbles and drawdowns with non-local behavioral self-referencing
Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2021
We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability...
Persistent link: https://www.econbiz.de/10012800780
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A classical model of speculative asset price dynamics
Inoua, Sabiou M.; Smith, Vernon L. - 2021
Persistent link: https://www.econbiz.de/10013256956
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Experience does not eliminate bubbles : experimental evidence
Kopányi-Peuker, Anita; Weber, Matthias - 2018
Persistent link: https://www.econbiz.de/10011946644
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Experience does not eliminate bubbles : experimental evidence
Kopányi-Peuker, Anita; Weber, Matthias - 2018
We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments … participants receive. Each market is repeated three times. In both experiments and in all treatments, we observe sizable bubbles …. These bubbles do not disappear with experience. Our findings in the call market experiment stand in contrast to the …
Persistent link: https://www.econbiz.de/10011932581
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
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Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10011605442
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Arbitrage, bubbles, and valuation
Werner, Jan - 1993
Persistent link: https://www.econbiz.de/10000869826