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Working Paper
Rational and near-rational bubbles without drift
Lansing, Kevin J.
(2007)
This paper derives a general class of intrinsic rational bubble solutions in a standard Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift. The volatility of bubble innovations depends exclusively on fundamentals. Starting from an arbitrarily small positive value, the rational bubble expands and contracts over time in an irregular, wholly endogenous fashion, always returning to the vicinity of the fundamental solution. I also examine a near-rational solution in which the representative agent ...
Working Paper Series
, Paper 2007-10
Discussion Paper
Testing for transient bubbles in stock prices
O'Brien, James M.
(1987)
Research Papers in Banking and Financial Economics
, Paper 98
Working Paper
Stock returns and inflation: further tests of the role of the central bank
Robinson, Kenneth J.; Ely, David P.
(1991)
Financial Industry Studies Working Paper
, Paper 91-1
Journal Article
Are stock returns different over weekends? a jump diffusion analysis of the \"weekend effect\"
Fortune, Peter
(1999-09)
The distribution of returns on common stocks is, arguably, one of the most widely studied financial market characteristics. The performance of stock prices during breaks in trading has received considerable attention in recent years, especially since the advent of "circuit breakers" designed to create stability when markets are chaotic. This study examines the distribution of daily returns on five popular stock price indices, with a special emphasis on the difference between returns over weekends and returns over adjacent intraweek trading days. The author revisits the "weekend effect" in ...
New England Economic Review
, Issue Sep
, Pages 3-19
Journal Article
Expectations, money, and the stock market
Keran, Michael W.
(1971-01)
Review
, Volume 53
, Issue Jan
, Pages 16-31
Working Paper
Learning and excess volatility
Duffy, John; Bullard, James B.
(1998)
We introduce adaptive learning behavior into a general equilibrium lifecycle economy with capital accumulation. Agents form forecasts of the rate of return to capital assets using least squares autoregressions on past data. We show that, in contrast to the perfect foresight dynamics, the dynamical system under learning possesses equilibria characterized by persistent excess volatility in returns to capital. We explore a quantitative case for these learning equilibria. We use an evolutionary search algorithm to calibrate a version of the system under learning and show that this system can ...
Working Papers
, Paper 1998-016
Journal Article
Why no crunch from the crash?
Runkle, David E.
(1988-01)
Quarterly Review
, Volume 12
, Issue Win
, Pages 2-7
Journal Article
Are high-quality firms also high-quality investments?
Mitnick, Scott; Laster, David S.; Antunovich, Peter
(2000-01)
The relationship between corporate reputation and investment results is the subject of ongoing debate. Some argue that high-quality firms ultimately provide superior stock price performance; others counter that stock prices already reflect these firms' prospects for growth and profitability. This study advances the debate by providing fresh evidence that investing in high-quality firms yields above-average returns and that these superior returns continue for up to five years.
Current Issues in Economics and Finance
, Volume 6
, Issue Jan
Working Paper
Do fundamentals, bubbles or neither determine stock prices? Some international evidence
Hafer, Rik; Dwyer, Gerald P.
(1989)
Working Papers
, Paper 1989-003
Journal Article
Market declines: what is accomplished by banning short-selling?
Mehran, Hamid; Battalio, Robert; Schultz, T. Paul
(2012-08)
In 2008, U.S. regulators banned the short-selling of financial stocks, fearing that the practice was helping to drive the steep drop in stock prices during the crisis. However, a new look at the effects of such restrictions challenges the notion that short sales exacerbate market downturns in this way. The 2008 ban on short sales failed to slow the decline in the price of financial stocks; in fact, prices fell markedly over the two weeks in which the ban was in effect and stabilized once it was lifted. Similarly, following the downgrade of the U.S. sovereign credit rating in 2011?another ...
Current Issues in Economics and Finance
, Volume 18
, Issue Aug
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