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Ito, Takatoshi - 1995

and the land price increase in 1990 is not explained by any asset pricing model based on fundamentals or rational bubbles …

Persistent link: https://www.econbiz.de/10012473511

New Evidence on the First Financial Bubble

Frehen, Rik G.P. - 2009

these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior … examine a broad cross-section of security price data to evaluate the causes of the bubbles. Using newly collected stock prices … in 1720. Our findings are consistent with the hypothesis that financial bubbles require a plausible story to justify …

Persistent link: https://www.econbiz.de/10012463318

The Japanese Bubble : A 'Heterogeneous' Approach

Barsky, Robert B. - 2009

Employing the neutral Kindleberger definition of a bubble as "an upward price movement over an extended range that then implodes", this paper explores the causes of the "Japanese Bubble" of 1985 to 1990 without precluding the possibility that the bubble was due to perceptions of fundamentals....

Persistent link: https://www.econbiz.de/10012463598

Japanization : Is it Endemic or Epidemic?

Ito, Takatoshi - 2016

Japanization is defined as a combinations of the following economic conditions: (1) the actual growth rate is lower than the potential growth rate for an extended period; (2) the natural real interest rate is below zero and also below the actual real interest rate; (3) the nominal (policy)...

Persistent link: https://www.econbiz.de/10012456719

Stock Return Predictability : Is it There?

Ang, Andrew - 2001

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as...

Persistent link: https://www.econbiz.de/10012470517

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on...

Persistent link: https://www.econbiz.de/10012474348

Non-Monetary News in Central Bank Communication

Cieslak, Anna - 2018

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...

Persistent link: https://www.econbiz.de/10012480685

Anomalies Abroad : Beyond Data Mining

Lu, Xiaomeng - 2017

A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed stock markets afford the most extensive data. The anomalies...

Persistent link: https://www.econbiz.de/10012453902

Does the Market Value R&D Investment by European Firms? Evidence from a Panel of Manufacturing Firms in France, Germany, and Italy

Hall, Bronwyn H. - 2004

Several studies based on US and UK data have used market value as an indicator of the firm''s expected R&D performance. However, there exist no investigations for the continental countries in the European Union, partly because the analysis is complicated by data availability problems. In this...

Persistent link: https://www.econbiz.de/10012468285

Stock Volatility During the Recent Financial Crisis

Schwert, G. William - 2011

This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting...

Persistent link: https://www.econbiz.de/10012461682

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