scholarly journals On Testing for Speculative Bubbles

1990 ◽  
Vol 4 (2) ◽  
pp. 85-101 ◽  
Author(s):  
Robert P Flood ◽  
Robert J Hodrick
Keyword(s):  
Stock Prices ◽  
Rational Expectations ◽  
Empirical Studies ◽  
Empirical Work ◽  
Free Markets ◽  
Equity Prices ◽  
Speculative Bubbles ◽  
Market Participants ◽  
Current State ◽  
Rational Bubble

The possibility that movements in prices could be due to the self-fulfilling prophecies of market participants has long intrigued observers of free markets. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies, by which we mean a situation of self-fulfilling prophecy within a rational expectations model. Empirical work in this area concentrates primarily on indeterminacies in price levels, exchange rates, and equity prices. We first examine a particular type of explosive indeterminacy, usually called a rational bubble, in an example of the market for equities. Then, we consider empirical work relating to price-level and exchange-rate indeterminacies and empirical studies of indeterminacies in stock prices. Finally, we take up some interpretive issues.

scholarly journals Salient accounting value drivers and equity re-turns : Evidence from US industries

2017 ◽  
Vol 5 (2) ◽  
pp. 183
Author(s):  
Omar Camara
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Equity Returns ◽  
Financial Policies ◽  
Value Drivers ◽  
Equity Prices ◽  
Market Participants ◽  
Sample Data ◽  
Portfolio Managers ◽  
The Impact

Past literatures suggest the presence of ubiquitous disquiet among corporate financial managers, financial analysts and portfolio managers that changes in certain accounting variable's results in changes in stock prices, irrespective of whether future cash flow's subsume these changes in salient accounting variables. Using an empirical rational inquiry, this paper attempts to test whether there is any relationship between salient accounting variables and equity returns for five major US industries (Manufacturing, Services, Wholesale, Constructions and Retail) from the period 1996 to 2015, and as a result, may contribute to accretion or loss in stockholders’ wealth. To account for divergent industry-specific revenue generating process and the existing fluidity in industry-specific application of accounting standards, this study thus disaggregates sample data by industry. The industry approach implies that the effect of salient accounting variables on equity prices may be described as a conflation of industry-specific characteristics and capital market synergies. Consistent with this notion, this study finds that salient accounting variables which are used to measure operating performance, growth opportunities, investment management and profitability have the significant impact on equity returns. However, and most importantly, the study finds that the impact of the salient accounting variables varies from one industry to another. As such, this study is particularly useful for equity market participants in the identification of industry related, market-relevant accounting variables, which may be used to guide future financial policies.

scholarly journals Rational speculative bubbles: A critical view

2007 ◽  
Vol 52 (174-175) ◽  
pp. 73-99
Author(s):  
Ognjen Radonjic
Keyword(s):  
Decision Making ◽  
Asset Prices ◽  
Capital Gains ◽  
Institutional Factors ◽  
Speculative Bubbles ◽  
Rational Bubbles ◽  
Market Participants ◽  
Decision Making Processes ◽  
Rational Bubble ◽  
Fundamental Value

According to the theory of rational bubbles, the bubble is present whenever asset prices progressively diverge from their fundamental value, which occurs because agents expect that asset prices will continue to grow exponentially (self-fulfilling prophecies) far in the future and consistently, which promises the realization of ever larger capital gains. In our opinion, the basic shortcoming of this theory refers to the assumption that all market agents are perfectly informed and rational and, accordingly, form homogeneous expectations. The model does not explain decision-making processes or expectation formation, nor does it detect potential psychological and institutional factors that might significantly influence decision making processes and market participants? reactions to news. Since assumptions of the model critically determine its validity, we conclude that comprehensiveness of the rational bubble model is, to put it mildly, limited.

Media portrayals of older employees: a success story?

2014 ◽  
Vol 27 (4) ◽  
pp. 583-597 ◽  
Author(s):  
Martine van Selm ◽  
Beatrice I.J.M. Van der Heijden
Keyword(s):  
Mass Media ◽  
Older Workers ◽  
Longitudinal Research ◽  
Empirical Studies ◽  
Empirical Work ◽  
Corporate Communication ◽  
Content Type ◽  
Media Portrayals ◽  
Older Employees ◽  
Age Related

Purpose – The purpose of this paper is to provide an analysis of how portrayals of older employees in mass media messages can help combating stereotypical beliefs on their employability. Design/methodology/approach – The authors conducted a systematic review of empirical studies on mass media portrayals of older employees in order to show what these reveal about the ways in which their employment status, occupation, job type, or work setting is portrayed. The approach builds upon theory on media portrayals, media effects, and stereotypes of older workers’ employability. Findings – This study shows that older employees in media portrayals, when present at all, are relatively often shown in higher-level professional roles, herewith overall, depicting an image that is positive, yet differs from stereotypical beliefs on their employability that are prevalent in working organizations. Research limitations/implications – Further empirical work is needed to more safely conclude on the prevalence of age-related portrayals of work and employment in mass media. In addition, longitudinal research is called for in order to better understand the possible causes for the way in which older employees are portrayed, as well as effects of age-related stereotyping in mass media and corporate communication outlets over time. Practical implications – This research sparks ideas about how new portrayals of older employees in mass media and corporate communication outlets can contribute to novel approaches to managing an aging and multi-generational workforce. Social implications – This study shows how working organizations can make use of the positive and powerful media portrayals of older employees, in order to activate normal and non-ageist behaviors toward them, and herewith, to increase their life-long employability. Originality/value – This study highlights the role of media portrayals of older employees in combating stereotypes about their employability.

Putting Descartes before the horse (again!)

2008 ◽  
Vol 31 (2) ◽  
pp. 142-143 ◽  
Author(s):  
Brendan McGonigle ◽  
Margaret Chalmers
Keyword(s):  
Formal Model ◽  
Empirical Studies ◽  
Cognitive Growth ◽  
The Core ◽  
Target Article ◽  
New Models ◽  
Rational Bubble

AbstractThe “rational bubble” stance espoused in the target article confounds cultural symbolic achievements with individual cognitive competences. With no explicit role for learning, the core rationale for claiming a major functional discontinuity between humans and other species rests on a hybrid formal model LISA (Learning and Inference with Schemas and Analogies) now overtaken by new models of cognitive growth and new empirical studies within an embodied systems stance.

scholarly journals Empirical studies of collaborative information seeking: a review of methodological issues

2019 ◽  
Vol 75 (1) ◽  
pp. 140-163 ◽  
Author(s):  
Morten Hertzum ◽  
Preben Hansen
Keyword(s):  
Information Seeking ◽  
Empirical Studies ◽  
Statistical Testing ◽  
Methodological Issues ◽  
Content Type ◽  
Current State ◽  
Lab Experiments ◽  
Major Implication ◽  
Collaborative Information Seeking ◽  
Study Setting

Purpose Information seeking is often performed in collaborative contexts. The research into such collaborative information seeking (CIS) has been proceeding since the 1990s but lacks methodological discussions. The purpose of this paper is to analyze and discuss methodological issues in existing CIS studies. Design/methodology/approach The authors systematically review 69 empirical CIS studies. Findings The review shows that the most common methods of data collection are lab experiments (43 percent), observation (19 percent) and surveys (16 percent), that the most common methods of data analysis are description (33 percent), statistical testing (29 percent) and content analysis (19 percent) and that CIS studies involve a fairly even mix of novice, intermediate and specialist participants. However, the authors also find that CIS research is dominated by exploratory studies, leaves it largely unexplored in what ways the findings of a study may be specific to the particular study setting, appears to assign primacy to precision at the expense of generalizability, struggles with investigating how CIS activities extend over time and provides data about behavior to a larger extent than about reasons, experiences and especially outcomes. Research limitations/implications The major implication of this review is its identification of the need for a shared model to which individual CIS studies can contribute in a cumulative manner. To support the development of such a model, the authors discuss a model of the core CIS process and a model of the factors that trigger CIS. Originality/value This study assesses the current state of CIS research, provides guidance for future CIS studies and aims to inspire further methodological discussion.

scholarly journals Solving the Mystery of Crypto’s Bubble

2020 ◽  
Vol 19 (3) ◽  
pp. 25-39
Author(s):  
Harsh Sengar
Keyword(s):  
Legal Entity ◽  
Market Participants ◽  
True Value ◽  
Herd Behaviour ◽  
Rational Bubble ◽  
Adf Test

Blockchain is the vehicle on which cryptocurrencies run, and it can’t be regulated by any legal entity during its operation.The huge growth in various cryptocurrency segments in 10 years has created the controversy of an inevitable bubble. A bubble can be generated either by queer herd behaviour or logical secular movement. Traces of evident bubbles have been a certainty and they take the perceived valuation of crypto to figures far away from its true value. This sudden diversion can be lethal due to the illogical, irrational propensity of regular market participants. This study observes ten cryptos under surveillance from September 2014 to August 2019. The selected ten (Monero, Bitcoin, XRP Ripple, Litecoin, Dogecoin, Monacoin, Ethereum, Bytecoin, Digibite, Potcoin) cryptocurrencies were studied for the last five years using Right Tailed ADF Test. Prominent traces of the rational bubble in all the underlying cryptocurrencies were found and have been considered for the study.

scholarly journals Keeping a cool head at all times. What determines choice consistency?

2020 ◽  
Author(s):  
Felix Jan Nitsch ◽  
Tobias Kalenscher
Keyword(s):  
Empirical Work ◽  
Neurological Status ◽  
Decision Makers ◽  
Expected Returns ◽  
Current State ◽  
Subjective Value ◽  
Choice Consistency ◽  
Blood Alcohol Levels ◽  
Rational Choice Theories ◽  
Trait Factors

Many rational choice theories posit that rational decision makers assign subjective values to all available choice options and choose the option with highest subjective value. Choice options are usually composed of multiple attributes, e.g. healthiness and taste in dietary choice or risk and expected returns in financial choice. These attributes have to be integrated into a single subjective value. Subjective value maximizing choice requires choice consistency, i.e. consistent weighing of the choice attributes across choices. However, empirical work suggests that perfect choice consistency is often violated, for example when decision makers weigh choice attributes differently across multiple decisions. Some researchers propose to extend certain bounds of rationality or to abandon the concept of rationality as adherence to consistency principles altogether. A more conservative stance assumes that perfect consistency can be violated by decision makers in practice, but that consistency principles still can explain large parts of behavior. In a review of the recent literature, we identify factors for compromised consistency relative to baseline conditions. Broadly, we distinguish between undynamic trait factors and fluid state factors. We find evidence for an influence of age, education, intelligence, and neurological status. In contrast, choice consistency appears to be relatively robust to the influence of sex, personality traits, cognitive load, sleepiness and blood alcohol levels. We conclude, that, according to the current state of the literature, only fundamental differences in decision makers, that is, trait differences, have a significant impact on choice consistency.

scholarly journals The Effectiveness of Real Estate Market Versus Efficiency of Its Participants

2012 ◽  
Vol 19 (1) ◽  
pp. 95-110 ◽  
Author(s):  
Małgorzata Renigier-Biłozor ◽  
Radosław Wiśniewski
Keyword(s):  
Real Estate ◽  
Rational Expectations ◽  
Rough Set Theory ◽  
Weak Form ◽  
Real Estate Market ◽  
Strong Form ◽  
The Real ◽  
The Real Estate ◽  
Market Participants ◽  
The Real Estate Market

Real estate markets (REMs) may be classified as strong-form efficient, semi-strong-form efficient or weak-form efficient. Efficiency measures the level of development or goal attainment in a complex social and economic system, such as the real estate market. The efficiency of the real estate market is the individual participant's ability to achieve the set goals. The number of goals is equivalent to the number of participants. Every market participant has a set of specific efficiency benchmarks which can be identified and described. In line with the theory of rational expectations, every participant should make decisions in a rational manner by relying on all available information to make the optimal forecast. The effectiveness of the real estate market is a function of the efficiency of individual market participants. This paper attempts to prove the following hypothesis: the effectiveness of a real estate market may be identified by analysing the effectiveness of its participants. The authors also discuss methods based on the rough set theory which can influence the efficiency and efficacy of market participants, and consequently, the effectiveness of the real estate market and its participants.

scholarly journals Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach

2008 ◽  
Vol 47 (4II) ◽  
pp. 501-513 ◽  
Author(s):  
Arshad Hasan ◽  
Zafar Mueen Nasir
Keyword(s):  
Empirical Studies ◽  
Testing Procedure ◽  
Bounds Testing ◽  
Macroeconomic Factors ◽  
Equity Prices ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Ardl Approach ◽  
The Impact ◽  
The Relationship

The relationship between macroeconomic variables and the equity prices has attracted the curiosity of academicians and practitioners since the publication of seminal paper of Chen, et al. (1986). Many empirical studies those tested the relationship reveal that asset pricing theories do not properly identify macroeconomic factors that influence equity prices [Roll and Ross (1980); Fama (1981); Chen, et al. (1986); Hamao (1986); Faff (1988); Chen (1991); Maysami and Koh (2000) and Paul and Mallik (2001)]. In most of these studies, variable selection and empirical analyses is based on economic rationale, financial theory and investors’ intuition. These studies generally apply Eagle and Granger (1987) procedure or Johanson and Jusilieus (1990, 1991) approach in Vector Auto Regressor (VAR) Framework. In Pakistan, Fazal (2006) and Nishat (2001) explored the relationship between macroeconomic factors and equity prices by using Johanson and Jusilieus (1990, 1991) procedure. The present study tests the relationship between macroeconomic variables such as inflation, industrial production, oil prices, short term interest rate, exchange rates, foreign portfolio investment, money supply and equity prices by using Auto Regressive Distributive Lag (ARDL) bounds testing procedure proposed by Pesaran, Shin, and Smith (1996, 2001). The ARDL approach in an errorcorrection setting has been widely applied to examine the impact of macroeconomic factors on economic growth but it is strongly underutilised in the capital market filament of literature. This methodology has a number of advantages over the other models. First, determining the order of integration of macroeconomic factors and equity market returns is not an important issue here because the Pesaran ARDL approach yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1) and of the extent of cointegration. Secondly, the ARDL approach allows exploring correct dynamic structure while many econometric procedures do not allow to clearly distinguish between long run and short run relationships.

Sign in / Sign up

Export Citation Format

Share Document