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Rational bubbles and fractional integration
Kruse, Robinson (contributor) - 2008
hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …
Persistent link: https://www.econbiz.de/10003672198
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Multiple Changes in Persistence vs. Explosive Behaviour : The Dotcom Bubble
de Medeiros, Otavio Ribeiro - 2012
Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...
Persistent link: https://www.econbiz.de/10013108019
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013109053
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Risk-Return Relation in Stock Returns under Economic Constraints
Nyberg, Henri - 2022
We obtain new methodological and empirical perspectives on the fundamental risk-return tradeoff in stock returns by imposing economic and asset pricing motivated constraints on the equity premium. In contrast to highly ambiguous past empirical findings, these constraints result in a nonlinear...
Persistent link: https://www.econbiz.de/10014239472
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Are International Equity Market Returns Predictable?
Chun, Sungju - 2009
The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...
Persistent link: https://www.econbiz.de/10013155218
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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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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
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Riding the South Sea Bubble
Temin, Peter; Voth, Hans-Joachim - 2012
This paper presents a case study of a well-informed investor in the South Sea bubble. We argue that Hoare's Bank, a fledgling West End London banker, knew that a bubble was in progress and that it invested knowingly in the bubble; it was profitable to ride the bubble. Using a unique dataset on...
Persistent link: https://www.econbiz.de/10014073923
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High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262