Norden, Simon van; Schaller, Huntley - In: Empirical Economics 27 (2002) 2, pp. 335-362
This paper tests between fads and bubbles using a switching regression to distinguish between competing models. Two … main features of the bubbles model distinguish it from the fads model. First, the bubbles model implies that returns are … drawn from regimes which differ in the way returns vary with deviations from fundamental prices. Second, the bubbles model …
