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Super-exponential RE bubble model with efficient crashes
Kreuser, Jerome; Sornette, Didier - 2017
crash (and rally) discrete jump distributions associated with positive (and negative) bubbles. We assume that crashes tend …, which has been previously proposed as a general definition of bubbles. Our bubble model also allows for a sequence of small …
Persistent link: https://www.econbiz.de/10011865575
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Bubbles and Crashes with Partially Sophisticated Investors
Bianchi, Milo; Jehiel, Philippe - 2011
We analyze bubbles and crashes in a model in which some investors are partially sophisticated. While the expectations … bubbles and crashes even in a purely speculative market in which information is complete and it is commonly understood that … whether bubbles may last longer when the share of fully rational traders increases …
Persistent link: https://www.econbiz.de/10014184822
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Short Term Momentum and Contrarian Profits on the Bucharest Stock Exchange Before and During the Global Crisis
Stefanescu, Razvan - 2012
This paper explores the opportunities of momentum and contrarian profits on the Bucharest Stock Exchange during quiet and turbulent times. In our investigation we employ daily values of the main indexes from the Bucharest Stock Exchange for two periods of time. During the first period, from...
Persistent link: https://www.econbiz.de/10013100305
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Optimism gone bad? : the persistent effects of traumatic experiences on investment decisions
Kim, Chi Hyun - 2021
Do memories of highly emotional stock market crashes permanently affect the investment decisions of households? The Initial Public Offerings of Deutsche Telekom during 1996- 2000 provide an optimal base to address this question, as it is known for its emotional character and is reputedly "the...
Persistent link: https://www.econbiz.de/10012607996
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Optimism gone bad? : the persistent effects of traumatic experiences on investment decisions
Kim, Chi Hyun - 2021
Do memories of highly emotional stock market crashes permanently affect the investment decisions of households? The Initial Public Offerings of Deutsche Telekom during 1996- 2000 provide an optimal base to address this question, as it is known for its emotional character and is reputedly “the...
Persistent link: https://www.econbiz.de/10012543807
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762
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Momentum Crashes and Variations to Market Liquidity
Butt, Hilal Anwar - 2019
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...
Persistent link: https://www.econbiz.de/10012895183
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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Momentum Crash Management
Heidari, Mahdi - 2015
Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...
Persistent link: https://www.econbiz.de/10013026403
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Taming Momentum Crashes
Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2022
We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...
Persistent link: https://www.econbiz.de/10013403316