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Recreating the South Sea bubble : lessons from an experiment in financial history
Giusti, Giovanni; Noussair, Charles; Voth, Hans-Joachim - 2014
Major bubble episodes are rare events. In this paper, we examine what factors might cause some asset price bubbles to …
Persistent link: https://www.econbiz.de/10010359796
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Riding the bubble or taken for a ride? : investors in the British bicycle mania
Quinn, William; Turner, John D. - 2021
Clientele-based theories explaining asset price bubbles are often difficult to test because the identities of investors …
Persistent link: https://www.econbiz.de/10012656998
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Newton's Financial Misadventures in the South Sea Bubble
Odlyzko, Andrew - 2018
directions and perspectives on bubbles …
Persistent link: https://www.econbiz.de/10012932159
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Signaling Asset Price Bubbles with Time-Series Methods
Taipalus, Katja - 2012
This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional … consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator … also signals most of the 'negative bubbles' before their turning points …
Persistent link: https://www.econbiz.de/10013111338
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Reaching for Yield : How Investors Amplify Housing Booms and Busts
Korevaar, Matthijs - 2021
Do investors reach for yield when interest rates are low, and how does this behavior influence house prices? This paper uses the unique setting of 17th-18th century Amsterdam to answer this question, using newly-collected archival data on investment portfolios and the universe of property...
Persistent link: https://www.econbiz.de/10013239621
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Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...
Persistent link: https://www.econbiz.de/10011301214
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Does credit affect stock trading? : evidence from the South Sea Bubble
Braggion, Fabio; Frehen, Rik; Jerphanion, Emiel - 2020
Persistent link: https://www.econbiz.de/10012219022
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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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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market
Dickinson, David L.; Chaudhuri, Ananish; … - 2017
asset market bubbles occur in all sessions, but global markets had significantly more extreme and longer duration valuation … bubbles. Additionally, subjects at the most suboptimal times-of-day held significantly more asset shares in their portfolios …
Persistent link: https://www.econbiz.de/10011731909