Similar Search Results

Do stock price bubbles influence corporate investment?

Gilchrist, Simon; Himmelberg, Charles P.; Huberman, Gur - 2004

of investor beliefs under short-selling constraints predicts a bubble, or a rise in a stock's price above its fundamental … of investor beliefs - to identify the bubble component in Tobin's Q. When comparing firms traded on the New York Stock …

Persistent link: https://www.econbiz.de/10010283384

A global house price pubble? Evaluation based on a new rent-price approach

Taipalus, Katja - 2006

The dividend yield ratio in the stock markets is, to an extent, comparable to the rent-price ratio in the housing market.Taking advantage of this definitional similarity, one can then use the traditional unit root test for log dividend yield in this case, the log rent-price ratio to test for the...

Persistent link: https://www.econbiz.de/10012147985

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 unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested...

Persistent link: https://www.econbiz.de/10012148141

Bubbles in the Finnish and US equities markets

Taipalus, Katja - 2006

Tests for unit roots in log dividend yields, which are consistent with `rational bubbles' in stock prices, are conducted for the S&P500 and Finnish stock market indexes.In addition to the traditional unit root tests, we split the data into 10-year segments and use frequency domain analysis to...

Persistent link: https://www.econbiz.de/10012148899

What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble

Chen, Cathy Yi-Hsuan; Després, Roméo; Guo, Li; … - 2019

The 2017 bubble on the cryptocurrency market recalls our memory in the dot-com bubble, during which hard …, conditional on bubble regimes, on cryptocurrencies aggregate return prediction. Constructing a crypto-specific lexicon and using a … local-momentum autoregression model, we find that the sentiment effect is prolonged and sustained during the bubble while it …

Persistent link: https://www.econbiz.de/10012433230

The Role of Central Bank in the Recession in the Case of Japan's Recession

Miyagawa, Shigeyoshi; Morita, Yoji; Sawada, Yoshitaka - 2007

Japan's economy is expanding and expected to continue expanding moderately, according to Monthly Report of Recent Economic and Financial Developments released by the Bank of Japan in July 2007.The BOJ declared the change of policy stance at the Monetary Policy Meeting held on July 14, 2006. The...

Persistent link: https://www.econbiz.de/10012502971

Regional differences in housing price dynamics: Panel data evidence

Oikarinen, Elias; Engblom, Janne - 2014

In this study, regional differences in housing price dynamics are examined empirically using panel data models. We concentrate on examining the momentum dynamics and the reversion speed towards fundamental price level. The analysis can be seen as a test for the validity of conventionally used...

Persistent link: https://www.econbiz.de/10012503048

Co-movement between commodity market and equity market : does commodity market change?

Yamori, Nobuyoshi - In: Modern economy 2 (2011) 3, pp. 335-339

Persistent link: https://www.econbiz.de/10009532430

Public messages and asset prices

Stoian, Adrian - In: Atlantic economic journal : AEJ 42 (2014) 4, pp. 441-454

Persistent link: https://www.econbiz.de/10010517382

Bubble-driven business cycles

Larin, Benjamin - 2016 - Very preliminary draft

the model to the post-war US economy and the numerical solution show that the model is able to depict plausible bubble …

Persistent link: https://www.econbiz.de/10011422345