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Speculators and Middlemen : The Strategy and Performance of Investors in the Housing Market

Bayer, Patrick J. - 2015

Housing market transactions are a matter of public record and thus provide a rare opportunity to analyze the behavior, performance, and strategies of individual investors. Using data for all housing transactions in the Los Angeles area from 1988-2009, this paper provides empirical evidence on...

Persistent link: https://www.econbiz.de/10013038298

Cash inflow and trading horizon in asset markets

Razen, Michael; Huber, Jürgen; Kirchler, Michael - 2016 - This version: March 30, 2016

It is conjectured that one of the major ingredients of historic financial bubbles was the inflow of money in various forms. We run 36 laboratory asset markets and investigate the joint effect of cash inflow and trading horizon on price efficiency. We show that only markets with cash inflow and...

Persistent link: https://www.econbiz.de/10011447411

Interactions between the real economy and the stock market

Westerhoff, Frank H. - 2011

We develop a simple behavioral macro model to study interactions between the real economy and the stock market. The real economy is represented by a Keynesian goods market approach while the setup for the stock market includes heterogeneous speculators. Using a mixture of analytical and...

Persistent link: https://www.econbiz.de/10009424772

Innovation Futures, The Nature of Speculation, and Stock Valuations

Obrimah, Oghenovo A. - 2020

less prone to extreme swings in value. Pricing of innovation futures of publicly traded firms induces speculation on … innovation futures of said firms. The formal theoretical model demonstrates that speculation on innovation futures does not … coincide with either of speculation that derives from heterogeneity of information (noise), or speculation that derives from …

Persistent link: https://www.econbiz.de/10012845014

Short-squeeze Bubbles

Guimaraes, Bernardo; Pannella, Pierluca - 2021

This paper argues that short selling might give rise to bubbles that would otherwise not exist in equilibrium. It is crucial for the argument that short selling is not the same as issuing an asset: it may require buying the stock later on. An asset with no fundamental value might be traded at...

Persistent link: https://www.econbiz.de/10013238298

The Souk Al-Manakh: the anatomy of a pure price-chasing bubble

Veneroso, Frank; Pasquali, Mark - 2021

the dot-com peak 20 years ago. In both instances, a very broad subset of stocks became so highly valued that speculation …

Persistent link: https://www.econbiz.de/10012496514

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...

Persistent link: https://www.econbiz.de/10012257370

Financial leverage and market volatility with diverse beliefs

Guo, Wen-chung; Wang, Frank Yong; Wu, Ho-Mou - 2009

We develop a model of asset trading with financial leverage in an economy with a continuum of investors. The investors are assumed to have diverse and rational beliefs in the sense of being compatible with observed data. We show that a reduction in the margin requirement may cause the stock...

Persistent link: https://www.econbiz.de/10009298669

Super-exponential bubbles in lab experiments : evidence for anchoring over-optimistic expectations on price

Huesler, Andreas D.; Sornette, Didier; Hommes, Cars H. - 2012

We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two …

Persistent link: https://www.econbiz.de/10009560804

15 Years of the Russell 2000 Buy-Write

Kapadia, Nikunj - 2011

Using data from January 18, 1996 to March 31, 2011, we construct and evaluate returns on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has consistently outperformed the Russell 2000 index on a risk adjusted basis, when implemented with one month to...

Persistent link: https://www.econbiz.de/10013120471