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Booms, Busts and Behavioural Heterogeneity in Stock Prices

Hommes, Cars H. - 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10013018699

Beta Bubbles

Jylha, Petri - 2017

We show that an increase in a stock's breadth of institutional ownership or turnover is followed by a significant but temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on beta estimates strengthens if we classify...

Persistent link: https://www.econbiz.de/10012971144

Measuring house price bubbles

Bourassa, Steven C.; Hoesli, Martin; Oikarinen, Elias - 2016

measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare … ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple …

Persistent link: https://www.econbiz.de/10011514230

Chapter 2. Psychology-Based Models of Asset Prices and Trading Volume

Barberis, Nicholas - 2018

Behavioral finance tries to make sense of financial data using models that are based on psychologically accurate assumptions about people's beliefs, preferences, and cognitive limits. I review behavioral finance approaches to understanding asset prices and trading volume, with particular...

Persistent link: https://www.econbiz.de/10014023400

Testing the stochastic disorder model on stock markets

Sokko, Anastasiia - 2017

This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...

Persistent link: https://www.econbiz.de/10011875860

Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles

Jarrow, Robert A. - 2018

price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the … impact depends on trade size. Asset price bubbles are generated by the existence of trading constraints, e.g. short sale … stock's expected return including both liquidity risk and asset price bubbles. This yields a generalized intertemporal and …

Persistent link: https://www.econbiz.de/10012929504

Capital Asset Market Equilibrium With Liquidity Risk, Portfolio Constraints, and Asset Price Bubbles

Jarrow, Robert A. - 2018

price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the … impact depends on trade size. Asset price bubbles are generated by the existence of portfolio constraints, e.g. short sale …-return relation for the stock's expected return including both liquidity risk and asset price bubbles. This yields a generalized …

Persistent link: https://www.econbiz.de/10012929509

Volatilitätseffekte am US-amerikanischen Häusermarkt

Schindler, Felix - 2009

Während direkte Immobilieninvestments lang Zeit als renditeträchtig bei gleichzeitig begrenztem Risiko galten, führte den Anlegern insbesondere die gegenwärtige Finanzmarktkrise vor Augen, dass auch Immobilienanlagen insbesondere in den USamerikanischen Häusermarkt mit hohen Risiken...

Persistent link: https://www.econbiz.de/10003881343

Compensation schemes, liquidity provision, and asset prices : an experimental analysis

Baghestanian, Sascha; Gortner, Paul; Massenot, Baptiste - 2015

limited liability investors contribute to asset price bubbles by increasing liquidity provision and that caps fail to tame … bubbles. Overall, giving investors skin in the game fosters financial stability. …

Persistent link: https://www.econbiz.de/10010530580

Housing risk and the cross-section of returns across many asset classes

Ma, Sai; Zhang, Shaojun - 2020

When households consume both nondurable goods and housing services, external habit preference over nondurable consumption generates procyclical demand for housing. Marginal utility falls when housing demand rises and innovations to housing demand arise as a risk factor. Motivated by theory, we...

Persistent link: https://www.econbiz.de/10012216697