Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/20354
Autoria: | Moreira, A. Martins, L. F. |
Data: | 2020 |
Título próprio: | A new mechanism for anticipating price exuberance |
Volume: | 65 |
Paginação: | 199 - 221 |
ISSN: | 1059-0560 |
DOI (Digital Object Identifier): | 10.1016/j.iref.2019.10.006 |
Palavras-chave: | Speculative bubbles Asset pricing Non-stationarity Adaptive learning Dynamic models |
Resumo: | It is very important for investors, market regulators, and policy makers to possess a trustworthy ex-ante tool capable of anticipating price exuberance events. This paper proposes a new statistical mechanism to predict speculative bubbles by inferring a significant probability of exuberance at least one step ahead of a bubble peak period. Contrary to other approaches, we combine asset pricing modeling and non-stationarity statistical analysis and use both in the context of adaptive learning to build a dynamic model specification. Monte Carlo simulations show that the ex-ante prediction is improved enormously by adding the estimated abnormal returns into the model. In some cases our mechanism predicts 100% of the last bubbles of the sample up to five periods before the peak. Furthermore, the mechanism is able to successfully anticipate the technological bubble observed in the 1990’s by estimating a probability greater than 90%, one month before the bubble peak. Thus, this new mechanism provides an advantage for investors interested in performing a very profitable “bubble surfing” strategy and for market regulators whose responsibility is to maintain market efficiency. |
Arbitragem científica: | yes |
Acesso: | Acesso Aberto |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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1-s2.0-S1059056019303016-main.pdf | Versão Editora | 2,19 MB | Adobe PDF | Ver/Abrir |
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