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Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical … norm, but it is likely to be punctuated with episodes of bubbles and crashes. The paper also considers if market …

Persistent link: https://www.econbiz.de/10013141228

League-Table Incentives and Price Bubbles in Experimental Asset Markets

Cheung, Stephen L. - 2011

We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked in a league table according to short-term paper returns. Those who rank highly attract...

Persistent link: https://www.econbiz.de/10013124787

To See is to Believe : Common Expectations in Experimental Asset Markets

Cheung, Stephen L. - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10013099096

How Does the Economic Uncertainty Affect Asset Prices Under Normal and Financial Distress Times?

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

Persistent link: https://www.econbiz.de/10013406435

Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10013314986

Produce or Speculate? Asset Bubbles, Occupational Choice and Efficiency

Cahuc, Pierre - 2009

We study the macroeconomic effects of rational asset bubbles in an overlapping-generations economy where asset trading … are large, the private gains associated with trading asset bubbles may lead too many workers to become speculators …, thereby causing rational bubbles to lose their efficiency properties. Moreover, if speculation can be carried out by skilled …

Persistent link: https://www.econbiz.de/10013153172

Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market

Dickinson, David L. - 2017

asset market bubbles occur in all sessions, but global markets had significantly more extreme and longer duration valuation … bubbles. Additionally, subjects at the most suboptimal times-of-day held significantly more asset shares in their portfolios …

Persistent link: https://www.econbiz.de/10012947730

Causality and Econometrics

Heckman, James J.; Pinto, Rodrigo - 2022

This paper examines the econometric causal model for policy analysis developed by the seminal ideas of Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two popular causal frameworks: Neyman-Holland causal model and the do-calculus. The Neyman-Holland causal model...

Persistent link: https://www.econbiz.de/10014083857

Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets

Butler, David J. - 2018

Asset market bubbles and crashes are a major source of economic instability and inefficiency. Sometimes ascribed to …

Persistent link: https://www.econbiz.de/10012917090

Two Heads are Less Bubbly than One : Team Decision-Making in an Experimental Asset Market

Cheung, Stephen L. - 2009

We study the effect of team decision-making on bubbles and crashes in experimental asset markets of the kind introduced …

Persistent link: https://www.econbiz.de/10013155154