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Dating the timeline of financial bubbles during the subprime crisis
Phillips, Peter C. B.; Yu, Jun - In: Quantitative economics : QE ; journal of the … 2 (2011) 3, pp. 455-491
erupted in 2007, the phenomenon migrated selectively into the commodity market and the bond market, creating bubbles which …
Persistent link: https://www.econbiz.de/10011756399
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Credit Provision and Stock Trading : Evidence From the South Sea Bubble
Braggion, Fabio - 2020
This paper studies the mechanism that relates credit provision to asset prices. On one extreme, cheap credit may reduce the cost of capital and increase prices without trading. On the other extreme, naive borrowers may unsuccessfully ride a bubble. We collect every stock transaction for three...
Persistent link: https://www.econbiz.de/10012848786
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What Drives Stock Prices in a Bubble?
Chen, Weihua; Liang, Shushu; Shi, Donghui - 2023
To shed light on the formation, expansion, and deflation of bubbles, we study how the cross section of stocks evolves …
Persistent link: https://www.econbiz.de/10014350459
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Hiding in the Herd : Acute Stress, Conformity, and Bubbles
Petersen, Gesa-Kristina; Spickers, Theresa - 2023
conformity, which translates into herding and prolonged price bubbles, although bubble magnitude remains unaffected by stress …
Persistent link: https://www.econbiz.de/10014350551
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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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This Time is Different : An Example of a Giant, Wildly Speculative, and Successful Investment Mania
Odlyzko, Andrew - 2012
to claims that bubbles are easy to detect or that all large and quick jumps in asset valuations are irrational. This …
Persistent link: https://www.econbiz.de/10013116261
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Seasonally Varying Preferences : Theoretical Foundations for an Empirical Regularity
Kamstra, Mark J. - 2014
We investigate an asset pricing model with preferences cycling between high risk aversion and low EIS in fall/winter and the reverse in spring/summer. Calibrating to consumption data and allowing plausible preference parameter values, we produce returns that match observed equity and Treasury...
Persistent link: https://www.econbiz.de/10013068403
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Measuring Risk for Large Hedgers and Large Speculators in Major US Futures Markets
Gurrib, Ikhlaas - 2013
Using the Commodity Futures Trading Commission's Commitments of Traders data, considering both the generalized autoregressive conditional heteroskedasticity (GARCH) and the power ARCH volatility-based models, it has been found that the lagged volatility and the news about volatility from the...
Persistent link: https://www.econbiz.de/10013073840
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Speculation and Financial Wealth Distribution Under Belief Heterogeneity
Cao, Dan - 2017
speculation. But they end up with low long run financial wealth when markets are more complete. In this model, stricter margin …
Persistent link: https://www.econbiz.de/10012971122
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Disagreement, Speculation, and Aggregate Investment
Baker, Steven D. - 2016
When investors disagree, speculation between them alters equilibrium prices in financial markets. Because managers …
Persistent link: https://www.econbiz.de/10013007038