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- Publisher Website: 10.1016/j.jfineco.2018.09.002
- Scopus: eid_2-s2.0-85055621891
- WOS: WOS:000455072600002
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Article: Bubbles for Fama
Title | Bubbles for Fama |
---|---|
Authors | |
Keywords | Market efficiency Bubble Predictability |
Issue Date | 2019 |
Citation | Journal of Financial Economics, 2019, v. 131, n. 1, p. 20-43 How to Cite? |
Abstract | We evaluate Eugene F. Fama's claim that stock prices do not exhibit price bubbles. Based on US industry returns (1926‒2014) and international sector returns (1985‒2014), we present four findings (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash but not of a further price boom; (3) attributes of the price run-up, including volatility, turnover, issuance, and the price path of the run-up, help forecast an eventual crash; and (4) these attributes also help forecast future returns. Results hold similarly in US and international samples. |
Persistent Identifier | http://hdl.handle.net/10722/303586 |
ISSN | 2023 Impact Factor: 10.4 2023 SCImago Journal Rankings: 13.655 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Greenwood, Robin | - |
dc.contributor.author | Shleifer, Andrei | - |
dc.contributor.author | You, Yang | - |
dc.date.accessioned | 2021-09-15T08:25:37Z | - |
dc.date.available | 2021-09-15T08:25:37Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Journal of Financial Economics, 2019, v. 131, n. 1, p. 20-43 | - |
dc.identifier.issn | 0304-405X | - |
dc.identifier.uri | http://hdl.handle.net/10722/303586 | - |
dc.description.abstract | We evaluate Eugene F. Fama's claim that stock prices do not exhibit price bubbles. Based on US industry returns (1926‒2014) and international sector returns (1985‒2014), we present four findings (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash but not of a further price boom; (3) attributes of the price run-up, including volatility, turnover, issuance, and the price path of the run-up, help forecast an eventual crash; and (4) these attributes also help forecast future returns. Results hold similarly in US and international samples. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.subject | Market efficiency | - |
dc.subject | Bubble | - |
dc.subject | Predictability | - |
dc.title | Bubbles for Fama | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jfineco.2018.09.002 | - |
dc.identifier.scopus | eid_2-s2.0-85055621891 | - |
dc.identifier.volume | 131 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 20 | - |
dc.identifier.epage | 43 | - |
dc.identifier.isi | WOS:000455072600002 | - |