This paper applies the Campbell-Shiller (1988) methodology to estimate a price dividend model with volatility and … inflation risk, extending existing models in this field. The model fits the data well over the period 1979-2002 for the Euro … that Fed policy remained stable, there was not much of attention to asset bubbles. For the Euro Area, historically, the …

volatility but are only able to outperform the passive funds in downturns. Simulations confirm the emergence of two regimes: a … bubble increases for low market liquidity and high switching speed of investors. The market volatility increases for strong … reswitching activities and short-term thinking of bounded rational investors. Negative bubbles (market prices lower than …

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock …

and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

straightforward channels. The result is a macroeconomic model that allows for the endogenous development of stock price bubbles. Even … used to reduce volatility and distortion of the macroeconomic aggregates. …