We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible … volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and … studied bubbles, the crash follows a period of lower volatility, reminiscent of the idiom of a “lull before the storm”. This …

A nonstationary dividend yield, having a unit root, is seen as proof of bubbles (Craine 1993). This inference is not … valid. A sufficient condition for the absence, respectively presence of bubbles is the uniform divergence, respectively … equilibrium dividend yield is a random walk without a deterministic trend or drift, but bubbles are still absent …

timing bubbles and crashes of individual stocks. Our findings imply that sophisticated investors may not always trade against … rational speculative bubbles, not entirely from sentiment-driven overpricing …

theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing …This paper provides a new explanation for closed-end fund (CEF) discounts and premiums using the local martingale … research for their resolution. This bubble theory also applies equally well to understanding discounts and premiums on exchange …

speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …

, which imply that stock returns are unpredictable, are derived both for a model without bubbles and for a model with a …