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Theoretical notes on bubbles and the current crisis
Martin, Alberto; Ventura, Jaume - 2011
We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme …
Persistent link: https://www.econbiz.de/10011605394
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Shifting into digital services: Does a crisis matter and for who?
van der Marel, Erik - 2020
How do trade patterns change after an external shock such as an economic crisis, and is this shift structural? This …
Persistent link: https://www.econbiz.de/10014327353
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Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2011
the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links …
Persistent link: https://www.econbiz.de/10010335985
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Do Japanese stock prices reflect macro fundamentals?
Chen, Wenjuan; Velinov, Anton - 2012
This paper investigates to what extent the fundamentals of the real economy are reflected in the stock prices of Japan …
Persistent link: https://www.econbiz.de/10010318743
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2011
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10010308566
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Sentiment dynamics and stock returns: the case of the German stock market
Lux, Thomas - 2008
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...
Persistent link: https://www.econbiz.de/10010263537
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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
reswitching activities and short-term thinking of bounded rational investors. Negative bubbles (market prices lower than … fundamentals) tend to occur if active portfolio managers exhibit high risk aversion, but are less frequent than positive bubbles. …
Persistent link: https://www.econbiz.de/10010323727
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Property Prices and Real Estate Financing in a Turbulent World
Balling, Morten; Bentzen, Christian Sinding; Berg, Jesper; … - 2013
On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on “Property prices and real estate financing in a turbulent world.” The papers included in this SUERF Study are based on contributions to the conference.
Persistent link: https://www.econbiz.de/10011689960
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Detecting asset price bubbles with time-series methods
Taipalus, Katja - 2012
conventional unit root tests in modified forms can be used to construct early warning indicators for bubbles in financial markets … 1871, they are able to signal most of the consensus bubbles, defined as stock market booms for example by the IMF, and they … bubbles from the data. Finally, these early warning indicators are applied to data for several housing markets. In most of the …
Persistent link: https://www.econbiz.de/10012148911
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Behavioral Heterogeneity in Stock Prices
Boswijk, Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005
We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...
Persistent link: https://www.econbiz.de/10010325397