Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index*
In: The journal of business, Band 78, Heft 5, S. 2003-2036
ISSN: 1537-5374
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In: The journal of business, Band 78, Heft 5, S. 2003-2036
ISSN: 1537-5374
In: The economic journal: the journal of the Royal Economic Society, Band 115, Heft 505, S. 767-797
ISSN: 1468-0297
In: Bulletin of economic research, Band 55, Heft 4, S. 319-346
ISSN: 1467-8586
AbstractIn recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been noted. In this paper, we examine whether this divergence can be explained by reference to the existence of a speculative bubble. Three different empirical methodologies are used: variance bounds tests, bubble specification tests, and cointegration tests based on both ex post and ex ante data. We find that, stock prices diverged significantly from their fundamental values during the late 1990's, and that this divergence has all the characteristics of a bubble.
In: Journal of property research, Band 18, Heft 4, S. 341-356
ISSN: 1466-4453