The Great Bull Markets 1924-29 and 1982-87: Speculative Bubbles or Economic Fundamentals?

Santoni, G.J.

doi:10.20955/r.69.16-30.bbg

Cited by 35 publications

(33 citation statements)

References 20 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Identifying speculative bubble is noteworthy difficult because there are several conceptual problems that obscure the economic interpretation of bubbles, starting with the absence of a general definition: bubbles are model specific and generally defined from a rather restrictive framework [1]. It is therefore difficult to avoid a subjective bias, especially since the very existence of bubbles is still debated [70,62,45,25,21,55,13,31,14,57,68,30,53]. A major problem with arguments in favor of bubbles is also that apparent evidence for bubbles can be reinterpreted in terms of market fundamentals that are unobserved by the researcher [21,24,30].…”

Section: Latin-american Marketsmentioning

confidence: 99%

Bubbles and Anti-Bubbles in Latin-American, Asian and Western Stock Markets: An Empirical Study

Johansen

Sornette

2001

Int. J. Theor. Appl. Finan.

View full text Add to dashboard Cite

Twenty-one significant bubbles followed by large crashes or severe corrections in Latin-American and Asian stock markets are identified. We find that, with very few exceptions, these speculative bubbles can be quantitatively described by a rational expectation model of bubbles predicting a specific power law acceleration as well as so-called logperiodic geometric patterns. This model considerably extends the applicability of the rational expectation model of bubbles followed by crashes or severe corrections previously proposed for the major financial markets in the world, i.e. the USA and the foreign exchange markets. A comparison of the model predictions using the price and the logarithm of the price, respectively, furthermore indicates according to our model that such large downward movements in the markets are nothing but depletions of the preceding bubble thus bringing the market back towards equilibrium. In addition, a set of secondary stock markets are also shown to exhibit well-correlated "anti-bubbles" triggered by a rash of crises on emerging markets in early 1994. This suggests that smaller stock markets can weakly synchronize not only because of the over-arching influence of the US market, but also independent of the US market due to external factors such as the Asian crisis of 1994.

show abstract

Section: Latin-american Marketsmentioning

confidence: 99%

Bubbles and Anti-Bubbles in Latin-American, Asian and Western Stock Markets: An Empirical Study

Johansen

Sornette

2001

Int. J. Theor. Appl. Finan.

View full text Add to dashboard Cite

show abstract

“…Santoni (1987) used this feature to develop a test for bubbles in 1924-1929 and in 1982-1987. He was unable to find enough evidence of postive serial dependence to conclude that bubbles actually existed during those episodes.…”

Section: Suggested Causes and "Triggers"mentioning

confidence: 99%

Price volatility, international market links, and their implications for regulatory policies

Roll

1989

J Finan Serv Res

189

View full text Add to dashboard Cite

“…Such price dynamics at first blush seem inconsistent with the efficient markets hypothesis, but proponents of rational speculative bubble theory suggest that this price behaviour is entirely consistent with market rationality since investors are compensated for the increased risk of a price collapse by ever increasing returns. According to Santoni's (1987) definition, speculative bubbles have the special characteristic that they are persistent, systematic and increasing deviations of prices from their fundamental values. The fundamentals measure the underlying or intrinsic worth of an asset based on the suitably discounted stream of cashflows that will accrue to the holder.…”

Section: Introductionmentioning

confidence: 99%

Speculative bubbles and the cross-sectional variation in stock returns

Anderson

Brooks

2014

International Review of Financial Analysis

View full text Add to dashboard Cite

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven fundamentals. EFM classification codes: 310, 330, 350 Acknowledgements: We are grateful to Rajesh Tharyan for providing a list of SEDOL codes matched with those from Datastream, and to Apostolos Katsaris, discussions with whom helped to shape the ideas for this paper.1

show abstract

The Great Bull Markets 1924-29 and 1982-87: Speculative Bubbles or Economic Fundamentals?

Abstract: Every so often, it seems, humankind almost en masse has a compulsion to speculate, and it yields to that compulsion with abandon, -Robert T. I'atterson, The Great Boom and Panic, p xiii.

Cited by 35 publications

References 20 publications

Bubbles and Anti-Bubbles in Latin-American, Asian and Western Stock Markets: An Empirical Study

Bubbles and Anti-Bubbles in Latin-American, Asian and Western Stock Markets: An Empirical Study

Price volatility, international market links, and their implications for regulatory policies

Speculative bubbles and the cross-sectional variation in stock returns

Contact Info

Product

Resources

About