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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 … models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster than …

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

What Does Matter in Economy Today : Between Rationality and Animal Spirits

Dhaoui, Abderrazak - 2011

This paper provides the first evidence for empirical test of the effect of rational expectations as well as behavioral biases including among others animal spirits such as defined by Akerlof and Shiller (2009) on the variability of trading. Using a data for five international capital markets in...

Persistent link: https://www.econbiz.de/10013118228

Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets

Dim, Chukwuma; Sangiorgi, Francesco; Vilkov, Grigory - 2021

We study learning and uncertainty under the factor investing paradigm using an endogenous information model with correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative, increasing systematic uncertainty and incentivizing...

Persistent link: https://www.econbiz.de/10013247042

Rational speculative bubbles in the US stock market and political cycles

Wang, Miao; Wong, M. C. Sunny - In: Finance research letters 13 (2015), pp. 1-9

Persistent link: https://www.econbiz.de/10011552305

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

Persistent link: https://www.econbiz.de/10003970286

Market depth, leverage, and speculative bubbles

Enders, Zeno; Hakenes, Hendrik - 2017

We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …

Persistent link: https://www.econbiz.de/10011780495

Stale Prices, Fragility, and Detrimental Cash : Evidence from Private Real Estate Funds

Couts, Spencer - 2019

This paper documents a new source of financial fragility and studies its interactions with common stabilization tools. Economists believe funds report stale Net Asset Values (NAVs) when they invest in illiquid assets. This staleness creates return predictability, NAV-timing risks, and fund...

Persistent link: https://www.econbiz.de/10012863843

Extreme downside liquidity risk

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

Opinions, Prices and Fibonacci Structures

Maloumian, Nicolas - 2021

In the financial markets, contradictory opinions generate a set of constraints which mediate information through a system of expected target prices. As a result, prices are a measure of value as much as they are an indication of how these expectations concerning value remain valid. Thus, path...

Persistent link: https://www.econbiz.de/10013214875

Fundamental disagreement about monetary policy and the term structure of interest rates

Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021

Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....

Persistent link: https://www.econbiz.de/10012249767