Günster, N.K.; Kole, H.J.W.G.; Jacobsen, B. - Erasmus Research Institute of Management (ERIM), ERIM … - 2009
acceleration of price growth beyond the growth in fundamental value given by an asset pricing model. Our new bubble detection …We empirically analyze rational investors' optimal response to asset price bubbles. We define bubbles as a sudden … method requires only a limited time-series of historical returns. We apply our method to US industries and find strong …