hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing …

estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When … the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The …

estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When … the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The …

assumed to follow a mean-reverting process around a stochastic long run mean. The second regime reflects the bubble period … with explosive behavior. Stochastic switches between two regimes and non-constant probabilities of exit from the bubble … properties for detecting bubbles. Empirical analysis using price-dividend ratios of S&P500 highlights the advantages of our …

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …