Asset price bubbles have fascinated economists for decades. In consequence, the literature on bubbles and their … rational bubbles. We focus in particular on recently developed bubble detection methods, namely recursive unit root tests … prices. As a result, they avoid testing a joint hypothesis of the presence of rational bubbles and the validity of the model …

Using a simple model of equity valuation, we de fine stock market bubbles and anti-bubbles as periods in which the … dynamics of valuation is temporarily explosive. We identify a mechanism for the creation and destruction of bubbles and anti-bubbles …

in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases … than the momentum profit by 51.47%. Such profit cannot be subsumed by certain characteristics that have been considered to … explain momentum. Possible explanations for our results include extrapolative bias and overreaction …

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk … performance of the weekly momentum and idiosyncratic momentum based on raw returns and idiosyncratic returns, respectively. After … that the univariate portfolio analysis is conducted to investigate the return predictability with respect to various …

return. These facts present a challenge to the “standard” asset pricing theory, which assumes that the return on stocks is …

This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high … idiosyncratic volatility realize significant abnormal momentum returns over a six-month holding period relative to stocks with low …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …