In this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is efficient and produces the maximally possible amount of welfare for society, and (2) asset prices reflect the utility-maximizi...

This paper examines historical Bitcoin price data together with the of a well-known and generally accepted asset bubble (the 1720 South Sea Bubble) aim identifying possible similarities. In order to find empirical evidence speculative tendencies, article analyses distribution moments autoregressive models time series both assets. Results show that daily prices assets—taking into account one yea...

We describe a rational expectations model in which speculative bubbles in house prices can emerge. Within this model both speculators and their lenders use interestonly mortgages (IOs) rather than traditional mortgages when there is a bubble. Absent a bubble, there is no tendency for IOs to be used. These insights are used to assess the extent to which house prices in US cities were driven by s...

The property market of Hong Kong is one of the most volatile in the world. This study attempts to investigate the proposition that the Hong Kong residential market is only driven by fundamentals. The investigation is based on a Markov switching present value model, which explicitly accounts for a rational speculative bubble. The estimates show that not only does the model capture the asymmetric...

The VAR approach for testing present value models is applied to a heterogeneousagent asset pricing model, using historical observations of the S&P500 index. Besides rational long-term investors, that value assets according to expected dividends, the model features rational and contrarian speculators. Agents choose their strategy based on evolutionary considerations. Supplementing the standard p...

Economists have long conjectured that movements in stock prices may involve speculative bubbles. A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Although there are several important theoretical issues surrounding the topic of asset bubbles, their existence is inherently an empirical issue that has not been settled. This...

Economists have long conjectured that movements in stock prices may involve speculative bubbles. A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Although there are several important theoretical issues surrounding the topic of asset bubbles, their existence is inherently an empirical issue that has not been settled. This...

today one of the major questions in the iranian economy is that do liquidity injected into the economy more effected productive activities or speculative activities .this study was conducted to compare the effects of liquidity growth on real sector and assets market bubbles in iranian economy during the period 1994(2)-2012(1). for this purpose, price index of four major assets in iranian econom...

This thesis examines firm performance through the dot-com bubble through the lens of executive compensation. Hypotheses based on the theoretical literature of Bolton, Scheinkman and Xiong (2006) as well as Bertrand and Mullainathan (2001) in regards to management compensation in a speculative bubble motivate three regression models with differing market-cap-growth based dependent variables and ...