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Stock Price Booms and Expected Capital Gains

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Cited by:

  1. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
  2. Christian Alemán & Christopher Busch & Alexander Ludwig & Raül Santaeulàlia-Llopis, 2022. "A Stage-Based Identification of Policy Effects," Working Papers 1369, Barcelona School of Economics.
  3. Caines, Colin, 2020. "Can learning explain boom-bust cycles in asset prices? An application to the US housing boom," Journal of Macroeconomics, Elsevier, vol. 66(C).
  4. Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018. "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, vol. 38(C), pages 72-80.
  5. Adam, Klaus & Merkel, Sebastian, 2019. "Stock Price Cycles and Business Cycles," CEPR Discussion Papers 13866, C.E.P.R. Discussion Papers.
  6. John C. Williams, 2014. "Financial stability and monetary policy: happy marriage or untenable union?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
  7. Adam, Klaus & Beutel, Johannes & Marcet, Albert & Merkel, Sebastian, 2015. "Can a financial transaction tax prevent stock price booms?," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 90-109.
  8. Duffy, John & Shin, Michael, 2024. "Heterogeneous experience and constant-gain learning," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
  9. Calvert Jump, Robert & Hommes, Cars & Levine, Paul, 2019. "Learning, heterogeneity, and complexity in the New Keynesian model," Journal of Economic Behavior & Organization, Elsevier, vol. 166(C), pages 446-470.
  10. de Jong, Johan & Sonnemans, Joep & Tuinstra, Jan, 2022. "The effect of futures markets on the stability of commodity prices," Journal of Economic Behavior & Organization, Elsevier, vol. 198(C), pages 176-211.
  11. Kuang, Pei & Tang, Li & Zhang, Renbin & Zhang, Tongbin, 2022. "Forecast disagreement about long-run macroeconomic relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 371-387.
  12. Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016. "Stock Market Volatility and Learning," Journal of Finance, American Finance Association, vol. 71(1), pages 33-82, February.
  13. Klaus Adam & Oliver Pfäuti & Timo Reinelt, 2020. "Falling Natural Rates, Rising Housing Volatility and the Optimal Inflation Target," CRC TR 224 Discussion Paper Series crctr224_2020_235, University of Bonn and University of Mannheim, Germany.
  14. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
  15. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
  16. Winkler, Fabian, 2020. "The role of learning for asset prices and business cycles," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 42-58.
  17. Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.
  18. Klaus Adam & Albert Marcet & Johannes Beutel, 2017. "Stock Price Booms and Expected Capital Gains," American Economic Review, American Economic Association, vol. 107(8), pages 2352-2408, August.
  19. Pei Kuang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," 2019 Meeting Papers 187, Society for Economic Dynamics.
  20. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2022. "Belief Distortions and Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 112(7), pages 2269-2315, July.
  21. Brückbauer, Frank, 2022. "Do financial market experts know their theory? New evidence from survey data," ZEW Discussion Papers 20-092, ZEW - Leibniz Centre for European Economic Research, revised 2022.
  22. Ricardo De La O & Sean Myers, 2021. "Subjective Cash Flow and Discount Rate Expectations," Journal of Finance, American Finance Association, vol. 76(3), pages 1339-1387, June.
  23. Benjamin Beckers & Kerstin Bernoth, 2016. "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin 1605, DIW Berlin, German Institute for Economic Research.
  24. Charles Nathanson & Edward Glaeser, 2015. "An Extrapolative Model of House Price Dynamics," 2015 Meeting Papers 1108, Society for Economic Dynamics.
  25. Suzane Bellue, 2023. "Why Don’t Poor Families Move? A Spatial Equilibirum Analysis of Parental Decisions with Social Learning," CRC TR 224 Discussion Paper Series crctr224_2023_472, University of Bonn and University of Mannheim, Germany.
  26. F. Di Pace & K. Mitra & S. Zhang, 2021. "Adaptive Learning and Labor Market Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 441-475, March.
  27. Marianne Andries & Milo Bianchi & Karen Huynh & Sébastien Pouget, 2024. "Return Predictability, Expectations, and Investment: Experimental Evidence," Post-Print hal-04680777, HAL.
  28. Edward L. Glaeser & Charles G. Nathanson, 2015. "An Extrapolative Model of House Price Dynamics," NBER Working Papers 21037, National Bureau of Economic Research, Inc.
  29. Jean-Philippe Bouchaud & Roger E. A. Farmer, 2023. "Self-Fulfilling Prophecies, Quasi Nonergodicity, and Wealth Inequality," Journal of Political Economy, University of Chicago Press, vol. 131(4), pages 947-993.
  30. Evans, David & Evans, George W. & McGough, Bruce, 2021. "Learning when to say no," Journal of Economic Theory, Elsevier, vol. 194(C).
  31. Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
  32. Christine Laudenbach & Annika Weber & Rüdiger Weber & Johannes Wohlfart, 2021. "Beliefs about the Stock Market and Investment Choices: Evidence from a Survey and a Field Experiment," CESifo Working Paper Series 9427, CESifo.
  33. Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
  34. Kuang, Pei, 2014. "A model of housing and credit cycles with imperfect market knowledge," European Economic Review, Elsevier, vol. 70(C), pages 419-437.
  35. Glaeser, Edward L. & Nathanson, Charles G., 2015. "An Extrapolative Model of House Price Dynamics," Working Paper Series rwp15-012, Harvard University, John F. Kennedy School of Government.
  36. Florian Schuster & Marco Wysietzki & Jonas Zdrzalek, 2023. "How Heterogeneous Beliefs Trigger Financial Crises," ECONtribute Discussion Papers Series 238, University of Bonn and University of Cologne, Germany.
  37. Kuang, Pei & Mitra, Kaushik, 2016. "Long-run growth uncertainty," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 67-80.
  38. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
  39. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
  40. Boehl, Gregor, 2022. "Monetary policy and speculative asset markets," European Economic Review, Elsevier, vol. 148(C).
  41. Nagel, Stefan & Xu, Zhengyang, 2023. "Dynamics of subjective risk premia," Journal of Financial Economics, Elsevier, vol. 150(2).
  42. Roger Farmer & Jean-Philippe Bouchaud, 2020. "Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality," NBER Working Papers 28261, National Bureau of Economic Research, Inc.
  43. YiLi Chien & In-Koo Cho & B. Ravikumar, 2021. "Convergence to Rational Expectations in Learning Models: A Note of Caution," Review, Federal Reserve Bank of St. Louis, vol. 103(3), pages 351-366, July.
  44. Nakov, Anton & Nuño, Galo, 2015. "Learning from experience in the stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 224-239.
  45. Katsuhiro Oshima, 2021. "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, vol. 17(1), pages 79-125, March.
  46. Klaus Adam & Michael Woodford, 2018. "Leaning Against Housing Prices as Robustly Optimal Monetary Policy," CESifo Working Paper Series 7071, CESifo.
  47. Manuel Macera & Albert Marcet & Juan Pablo Nicolini, 2019. "On the Risk of Leaving the Euro," Working Papers 760, Federal Reserve Bank of Minneapolis.
  48. Anmol Bhandari & Jaroslav Borovicka & Paul Ho, 2019. "Survey Data and Subjective Beliefs in Business Cycle Models," Working Paper 19-14, Federal Reserve Bank of Richmond.
  49. Magnus Dahlquist & Markus Ibert, 2024. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1887-1928.
  50. Matteo Benetton & Giovanni Compiani, 2024. "Investors’ Beliefs and Cryptocurrency Prices," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 197-236.
  51. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  52. Stefano Eusepi & Bruce Preston, 2018. "Fiscal Foundations of Inflation: Imperfect Knowledge," American Economic Review, American Economic Association, vol. 108(9), pages 2551-2589, September.
  53. Cong Chen & Changsheng Hu & Hongxing Yao, 2022. "Noise Trader Risk and Wealth Effect: A Theoretical Framework," Mathematics, MDPI, vol. 10(20), pages 1-18, October.
  54. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
  55. Matteo Benetton & Giovanni Compiani, 2020. "Investors’ Beliefs and Asset Prices: A Structural Model of Cryptocurrency Demand," Working Papers 2020-107, Becker Friedman Institute for Research In Economics.
  56. Katsuhiro Oshima, 2019. "Heterogeneous Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1013, Kyoto University, Institute of Economic Research.
  57. Despina Gavresi & Anastasia Litina & Christos A. Makridis, 2024. "Split personalities? Behavioral effects of temperature on financial decision‐making," Kyklos, Wiley Blackwell, vol. 77(3), pages 664-689, August.
  58. Eusepi, Stefano & Giannoni, Marc P. & Preston, Bruce, 2018. "Some implications of learning for price stability," European Economic Review, Elsevier, vol. 106(C), pages 1-20.
  59. Emir Zildžović, 2015. "The Sustainability Of Serbia`S External Position: The Impact Of Fiscal Adjustment And External Shocks," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 60(204), pages 31-60, January –.
  60. Oliver Pfäuti & Fabian Seyrich, 2022. "A Behavioral Heterogeneous Agent New Keynesian Model," CRC TR 224 Discussion Paper Series crctr224_2022_334, University of Bonn and University of Mannheim, Germany.
  61. Caines, Colin & Winkler, Fabian, 2021. "Asset price beliefs and optimal monetary policy," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 53-67.
  62. Adam, Klaus & Woodford, Michael, 2021. "Robustly optimal monetary policy in a new Keynesian model with housing," Journal of Economic Theory, Elsevier, vol. 198(C).
  63. Greg Kaplan & Kurt Mitman & Giovanni L. Violante, 2020. "The Housing Boom and Bust: Model Meets Evidence," Journal of Political Economy, University of Chicago Press, vol. 128(9), pages 3285-3345.
  64. Cars Hommes & Robert Calvert Jump & Paul Levine, 2017. "Internal rationalityuyuyuy, heterogeneity and complexity in the New Keynesian model," Working Papers 20171706, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  65. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 52-67, National Bureau of Economic Research, Inc.
  66. Ricardo Barahona & Stefano Cassella & Kristy A. E. Jansen, 2023. "Do Teams Alleviate or Exacerbate the Extrapolation Bias in the Stock Market?," Working Papers 2335, Banco de España.
  67. Katsuhiro Oshima, 2019. "Subjective Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1012, Kyoto University, Institute of Economic Research.
  68. Anwar, Cep Jandi, 2021. "Heterogeneity Effect of Central Bank Independence on Asset Prices: Evidence from Selected Developing Countries," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 65-80.
  69. Matteo Bizzarri & Daniele d'Arienzo, 2023. "The social value of overreaction to information," CSEF Working Papers 690, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  70. Yuriy Gorodnichenko & Xiao Yin, 2024. "Higher-Order Beliefs and Risky Asset Holdings," NBER Working Papers 32680, National Bureau of Economic Research, Inc.
  71. Makridis, Christos A., 2022. "The social transmission of economic sentiment on consumption," European Economic Review, Elsevier, vol. 148(C).
  72. Jan Libich & Liam Lenten, 2022. "Hero or villain? The financial system in the 21st century," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 3-40, February.
  73. Pei Kuang & Kaushik Mitra, 2022. "Potential Output Pessimism and Austerity in the European Union," Discussion Papers 22-08, Department of Economics, University of Birmingham.
  74. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  75. Kelikume, Ikechukwu & Evans, Olaniyi & Iyoha, Faith, 2020. "Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa," MPRA Paper 118200, University Library of Munich, Germany.
  76. Boqiang Lin & Tianxu Lan, 2024. "The time‐varying volatility spillover effects between China's coal and metal market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 699-719, May.
  77. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  78. John C. Williams, 2013. "Bubbles tomorrow and bubbles yesterday, but never bubbles today?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sept23.
  79. Jean Paul Rabanal & Aleksei Chernulich & John Horowitz & Olga A. Rud & Manizha Sharifova, 2019. "Market timing under public and private information," Working Papers 151, Peruvian Economic Association.
  80. Hollmayr, Josef & Kühl, Michael, 2019. "Learning about banks’ net worth and the slow recovery after the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
  81. Hans-Martin von Gaudecker & Axel Wogrolly & Hans-Martin von Gaudecker, 2019. "The dynamics of households' stock market beliefs," CESifo Working Paper Series 7602, CESifo.
  82. Pauline Gandré, 2020. "Learning, house prices and macro-financial linkages," Working Papers hal-04159701, HAL.
  83. Mohrschladt, Hannes, 2021. "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
  84. Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
  85. Pooya Molavi, 2019. "Macroeconomics with Learning and Misspecification: A General Theory and Applications," 2019 Meeting Papers 1584, Society for Economic Dynamics.
  86. Schaal, Edouard & Taschereau-Dumouchel, Mathieu, 2023. "Herding through booms and busts," Journal of Economic Theory, Elsevier, vol. 210(C).
  87. von Gaudecker, Hans-Martin & Wogrolly, Axel, 2022. "Heterogeneity in households’ stock market beliefs," Journal of Econometrics, Elsevier, vol. 231(1), pages 232-247.
  88. Massenot, Baptiste, 2020. "Credit cycles: Experimental evidence," SAFE Working Paper Series 104 [rev.], Leibniz Institute for Financial Research SAFE, revised 2020.
  89. Rüdiger Weber & Annika Weber & Christine Laudenbach & Johannes Wohlfart, 2021. "Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment," CEBI working paper series 21-17, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
  90. Pei Kuang & Renbin Zhang & Tongbin Zhang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," Discussion Papers 19-05, Department of Economics, University of Birmingham.
  91. Lee, Taehyun & Moutzouris, Ioannis C & Papapostolou, Nikos C & Fatouh, Mahmoud, 2023. "Foreign exchange hedging using regime-switching models: the case of pound sterling," Bank of England working papers 1042, Bank of England.
  92. Mikael Bask & João Madeira, 2021. "Extrapolative expectations and macroeconomic dynamics: Evidence from an estimated DSGE model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1101-1111, January.
  93. Ifrim, Adrian, 2023. "Sentimental Discount Rate Shocks," EconStor Preprints 268363, ZBW - Leibniz Information Centre for Economics.
  94. Glaeser, Edward L. & Nathanson, Charles G., 2017. "An extrapolative model of house price dynamics," Journal of Financial Economics, Elsevier, vol. 126(1), pages 147-170.
  95. Berardi, Michele, 2021. "Uncertainty, sentiments and time-varying risk premia," MPRA Paper 106922, University Library of Munich, Germany.
  96. Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021. "Toothless tiger with claws? Financial stability communication, expectations, and risk-taking," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 53-69.
  97. Adam, Klaus & Woodford, Michael, 2018. "Leaning against housing prices as robustly optimal monetary policy," CFS Working Paper Series 601, Center for Financial Studies (CFS).
  98. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
  99. Weber, Martin & Kieren, Pascal & Mueller-Dethard, Jan, 2020. "Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets," CEPR Discussion Papers 14647, C.E.P.R. Discussion Papers.
  100. Pascal Kieren & Jan Müller-Dethard & Martin Weber, 2023. "Risk-Taking and Asymmetric Learning in Boom and Bust Markets," Review of Finance, European Finance Association, vol. 27(5), pages 1743-1779.
  101. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
  102. Christine Laudenbach & Annika Weber & Johannes Wohlfart, 2021. "Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment," ECONtribute Discussion Papers Series 128, University of Bonn and University of Cologne, Germany.
  103. Tortorice, Daniel L, 2018. "The business cycle implications of fluctuating long run expectations," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 266-291.
  104. Bouaddi, Mohammed & Moutanabbir, Khouzeima, 2023. "Rational distorted beliefs investor; which risk matters?," Finance Research Letters, Elsevier, vol. 51(C).
  105. Beckers, Benjamin & Bernoth, Kerstin, 2016. "Monetary Policy and Asset Mispricing," VfS Annual Conference 2016 (Augsburg): Demographic Change 145684, Verein für Socialpolitik / German Economic Association.
  106. Oesinghaus, Andreas, 2024. "Analysts’ extrapolative expectations in the cross-section," Journal of Economics and Business, Elsevier, vol. 130(C).
  107. Paolo Gelain & Kevin J. Lansing & Gisle J. Natvik, 2018. "Explaining the Boom–Bust Cycle in the U.S. Housing Market: A Reverse‐Engineering Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1751-1783, December.
  108. Ricardo De la O & Sean Myers, 2018. "Subjective Cash Flows and Discount Rates," 2018 Meeting Papers 291, Society for Economic Dynamics.
  109. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  110. Cong Chen & Changsheng Hu & Liang Wu, 2023. "Feedback Trading, Investor Sentiment and the Volatility Puzzle: An Infinite Theoretical Framework," Mathematics, MDPI, vol. 11(14), pages 1-15, July.
  111. Fatouh, Mahmoud & Giansante, Simone, 2023. "The cyclicality of bank credit losses and capital ratios under expected loss model," Bank of England working papers 1013, Bank of England.
  112. Colin C. Caines & Fabian Winkler, 2018. "Asset Price Learning and Optimal Monetary Policy," International Finance Discussion Papers 1236, Board of Governors of the Federal Reserve System (U.S.).
  113. Gelain, Paolo & Iskrev, Nikolay & J. Lansing, Kevin & Mendicino, Caterina, 2019. "Inflation dynamics and adaptive expectations in an estimated DSGE model," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 258-277.
  114. Gandré, Pauline, 2020. "US stock prices and recency-biased learning in the run-up to the Global Financial Crisis and its aftermath," Journal of International Money and Finance, Elsevier, vol. 104(C).
  115. Camous, Antoine & Van der Ghote, Alejandro, 2022. "Financial cycles under diagnostic beliefs," Working Paper Series 2659, European Central Bank.
  116. Gandré, Pauline, 2015. "Asset prices and information disclosure under recency-biased learning," CEPREMAP Working Papers (Docweb) 1515, CEPREMAP.
  117. Evans, David & Evans, George W. & McGough, Bruce, 2022. "The RPEs of RBCs and other DSGEs," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  118. Kedar-Levy, Haim, 2020. "Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes," Journal of Financial Markets, Elsevier, vol. 48(C).
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