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Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2013 - This version: Nov. 2013

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10010410457

On the existence and prevention of speculative bubbles

Enders, Zeno; Hakenes, Hendrik - 2014

We develop a parsimonious model of bubbles based on the assumption of imprecisely known market depth. In a speculative bubble, traders drive the price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously unknown date, the...

Persistent link: https://www.econbiz.de/10010393456

Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders

Kaizoji, Taisei; Leiss, Matthias; Saičev, Aleksandr I.; … - 2015

We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which fundamentalist and chartist traders co-exist. Fundamentalists form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility...

Persistent link: https://www.econbiz.de/10011293440

Disagreement-Based Trading and Speculation : Implications for Financial Regulation and Economic Theory

Biondi, Yuri - 2011

Lynn Stout's paper on Risk, Speculation, and OTC Derivatives: An Inaugural Essay for Convivium develops an insightful … speculation and its recent transformation, making reference to the case of derivatives markets crash (and related financial crisis …) of 2007. From another hand, the paper foreshadows a thought-provoking economic model of trade (and speculation) based on …

Persistent link: https://www.econbiz.de/10013130175

Derivatives and Financial Crisis : The Costs of Speculation in Brazil (Aracruz and Sadia)

Perera, Luiz C. J. - 2012

This study aimed to verify the speculation costs incurred by Aracruz and Sadia due to their high degree of leverage …

Persistent link: https://www.econbiz.de/10013101040

Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles

Chen, Xi - 2014

The recent increase in Chinese house prices has led to concerns that China is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to spot the beginning and the end of potential speculative bubbles in Chinese house price cycles. Overall, we find...

Persistent link: https://www.econbiz.de/10013065067

Bankers’ Bonuses and Speculative Bubbles

Enders, Zeno - 2015

We develop a parsimonious model of bubbles based on the assumption of imprecisely known market depth. In a speculative bubble, bankers (traders) drive the price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously unknown...

Persistent link: https://www.econbiz.de/10013038461

Learning Fast or Slow?

Barber, Brad M. - 2019

Rational models claim “trading to learn” explains widespread excessive speculative trading and challenge behavioral explanations of excessive trading. We argue rational learning models do not explain speculative trading by studying day traders in Taiwan. Consistent with previous studies of...

Persistent link: https://www.econbiz.de/10012904590

'Speculative Influence Network' During Financial Bubbles : Application to Chinese Stock Markets

Lin, Li - 2015

We introduce the Speculative Influence Network (SIN) to decipher the causal relationships between sectors (and/or firms) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of regime-switching between a normal market phase represented by a...

Persistent link: https://www.econbiz.de/10013012557

Multi-asset financial bubbles in an agent-based model with noise traders' herding described by an n-vector Ising model

Cividino, Davide; Westphal, Rebecca; Sornette, Didier - 2021

We present an agent-based model (ABM) of a financial market with n 1 risky assets, whose price dynamics result from the interaction between rational fundamentalists and trend following imitative noise traders. The interactions and opinion formation of the noise traders are described by an...

Persistent link: https://www.econbiz.de/10012799633