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A Model-Free Test of Rational Bubbles : An Application to the US Housing Market
Basco, Sergi; Schäfer-i-Paradís, Maximilian - 2022
”bubbles”. In this paper, we provide a model-free test of rational bubbles and we apply it to the U.S. housing market. Based on …
Persistent link: https://www.econbiz.de/10013404365
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Asset price bubbles : existence, persistence and migration
Gómez González, José Eduardo; Ojeda-Joya, Jair N.; … - In: The South African journal of economics 85 (2017) 1, pp. 52-67
Persistent link: https://www.econbiz.de/10011667418
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A Cointegration Test to Verify the Housing Bubble
Arshanapalli, Bala - 2015
Housing prices in the US rose rapidly from 2000-2007Q3. Based on this evidence, the financial and general press concluded the US experienced a housing bubble. The efficient market theory denies the possibility of a bubble. This paper applies the statistical technique of cointegration to...
Persistent link: https://www.econbiz.de/10013039155
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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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The Option Value of Vacant Land : Don't Build when Demand for Housing Is Booming
Lange, Rutger‐Jan; Teulings, Coen N. - 2021
Urban structures and urban growth rates are highly persistent. This has far-reaching implications for the optimal size and timing of new construction. We prove that rational developers postpone construction not because prospects are gloomy, but because they are bright. The slow mean reversion in...
Persistent link: https://www.econbiz.de/10013236252
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
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Liquidity Shocks and Stock Bubbles
Nneji, Ogonna - 2014
market bubbles. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase … the probability of stock market bubbles collapsing. Second, market liquidity has a more prevalent effect on stock bubbles …
Persistent link: https://www.econbiz.de/10013063524
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On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - 2017
After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...
Persistent link: https://www.econbiz.de/10011595441
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Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Lux, Thomas - 2020
econometric issues in the estimation of these highly complex nonlinear models, and estimate the parameters of different versions … Franke and Westerhoff (2012) is the only exception. Estimation of the model confidence set indicates that this model is not …
Persistent link: https://www.econbiz.de/10012214509
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Testing the stochastic disorder model on stock markets
Sokko, Anastasiia - 2017
This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...
Persistent link: https://www.econbiz.de/10011875860