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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

Persistent link: https://www.econbiz.de/10001617689

Event-driven mobile financial Information-Services : design of an intraday decision support System

Muntermann, Jan - 2007 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003498296

An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...

Persistent link: https://www.econbiz.de/10003636657

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are driven by fundamentals or by non-fundamental factors. In this paper we put forward the hypothesis that a present value model with time-varying expected returns provides an...

Persistent link: https://www.econbiz.de/10010503717

On the determinants of speculation : a case for extended disclosures in corporate risk management1

Hecht, Andreas - 2017

We examine the determinants of corporate speculation and challenge the extant, conflicting evidence. Separating risk … management (reducing currency-specific FX exposure) from speculation (increasing or holding currency-specific FX exposure … standards. Our findings enable investors, henceforth, to identify speculation from public available sources, where our results …

Persistent link: https://www.econbiz.de/10011688208

Interactive unawareness

Heifetz, Aviad; Meier, Martin; Schipper, Burkhard - 2005

The standard state-spaces of asymmetric information preclude non-trivial forms of unawareness (Modica and Rustichini, 1994, Dekel, Lipman and Rustichini, 1998). We introduce a generalized state-space model that allows for non-trivial unawareness among several individuals, and which satisfies...

Persistent link: https://www.econbiz.de/10010366550

Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper

Fricke, Daniel; Gerig, Austin - 2014

Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key element is missing: liquidity also depends on (3) an asset...

Persistent link: https://www.econbiz.de/10010484462

Financial system fragility models

Iancu, Aurel - 2011

This paper analyses two types of models: 1. Those based on assumptions of monetary and financial market equilibrium disturbance in line with mainstream thinking that there is self-regulating market, the units would have rational expectations, and the crisis would be a temporary phenomenon caused...

Persistent link: https://www.econbiz.de/10010529077

Speculative bubbles in urban housing markets in Germany

Cholodilin, Konstantin Arkadʹevič; Michelsen, Claus; … - 2015

In the light of the unconventional monetary policies conducted by the majority of large central banks around the world, there is an intense debate about their potential impact on the prices of capital assets. Particularly in Germany, skepticism about the sustainability of the recent policy by...

Persistent link: https://www.econbiz.de/10011485154

Fiscal uncertainty, informational externalities and the welfare cost of speculation

DeKock, Gabriel Stephanus Petrus; Grilli, Vittorio U. - 1988

Persistent link: https://www.econbiz.de/10000124916