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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

No-Bubble Condition : Model-free Tests in Housing Markets

Giglio, Stefano - 2014

We test for the existence of housing bubbles associated with a failure of the transversality condition that requires …

Persistent link: https://www.econbiz.de/10012458510

Exorbitant Privilege Gained and Lost : Fiscal Implications

Chen, Zefeng; Jiang, Zhengyang; Lustig, Hanno; … - National Bureau of Economic Research - 2022

We study three centuries of U.K. fiscal history. Before WW-I, when the U.K. dominated global bond markets, the U.K.'s government debt was not always fully backed by its future surpluses, even after accounting for the seigniorage revenue from convenience yields. As predicted by theories of safe...

Persistent link: https://www.econbiz.de/10013210087

Expectations Hypotheses Tests

Bekaert, Geert - 2000

We investigate the Expectations Hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for the U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. In addition to standard Wald tests, we formulate...

Persistent link: https://www.econbiz.de/10012471161

Evidence on Rationality in Commercial Property Markets : An Interpretation and Critique

Hendershott, Patric - 2005

Periodic sharp sustained increases and then reversals in asset prices lead many to posit irrational price bubbles. The …

Persistent link: https://www.econbiz.de/10012467354

The Evolution of Inequality in Productivity and Wages : Panel Data Evidence

Faggio, Giulia - 2007

There has been a remarkable increase in wage inequality in the US, UK and many other countries over the past three decades. A significant part of this appears to be within observable groups (such as age-gender-skill cells). A generally untested implication of many theories rationalizing the...

Persistent link: https://www.econbiz.de/10012465301

The Really Long-Run Performance of Initial Public Offerings : The Pre-NASDAQ Evidence

Gompers, Paul A. - 2001

Financial economists in recent years have closely examined and intensely debated the performance of initial public offerings using data after the formation of NASDAQ. The paper seeks to shed light on this controversy by undertaking a large, out-of-sample study: we examine the performance for up...

Persistent link: https://www.econbiz.de/10012470213

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

Transaction Costs in Dealer Markets : Evidence From The London Stock Exchange

Reiss, Peter C. - 1994

This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It develops a measure of spread-related transaction costs, one that recognizes dealers' willingness to price trades within their quoted spreads. This measure of transaction costs...

Persistent link: https://www.econbiz.de/10012474198

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

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