Financial Market Bubbles and Crashes, Second Edition (eBook)

Features, Causes, and Effects

Harold L. Vogel (Autor)

eBook Download: PDF

2018 | 2., Second Edition 2018
XLIII, 477 Seiten
Springer International Publishing (Verlag)
978-3-319-71528-5 (ISBN)

Infos

Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price. 

Harold (Hal) L. Vogel was the senior entertainment industry analyst at Merrill Lynch and inducted into Institutional Investor magazine's All-America Research Team Hall of Fame in 2011. Holder of a PhD in financial economics, he is also a chartered financial analyst (C.F.A.) and served as an adjunct professor at Columbia University's Graduate School of Business. His books include Entertainment Industry Economics: A Guide for Financial Analysis (10th edition forthcoming) and Travel Industry Economics: A Guide for Financial Analysis (3rd edition 2016). He currently heads an independent investment and consulting firm in New York City.

Inhalt

Prologue 7
Preface 11
References 25
Contents 29
List of Figures 32
List of Tables 40
Part I: Background 41
Chapter 1: Introduction 42
1.1 Overview 42
1.2 On the Nature of Humans and Bubbles 46
Macro Aspects 46
Utility and Independence 49
Psychology, Money, and Trust 51
1.3 Central Features 53
1.4 On Defining Bubbles 56
1.5 Credit, Debt, and Commonalities 59
Credits and Debts 59
Commonalities 61
References 74
Chapter 2: Bubble Stories 85
2.1 Tulips 85
2.2 England and France, 1700s 87
South Sea Bubble 87
Mississippi Bubble 88
2.3 British Railway Mania 91
2.4 The Roaring Twenties 92
2.5 Japan 1989 94
2.6 Tech/Internet Stocks, 1987 and 2000 98
2.7 Housing, Credit, and Commodities, 2002–2008 106
Housing and Credit 106
Commodities 112
2.8 Yield-Chasing, 2009–2017 113
2.9 Conclusions 118
References 140
Chapter 3: Crash Stories 155
3.1 Crashes, Panics, and Collapses 155
Business Cycle Aspects 160
3.2 Nowhere to Hide 160
3.3 Storm Cats 164
3.4 Conclusions 166
References 177
Chapter 4: Money and Credit Features 183
4.1 Historical Perspectives 183
Theories 183
Realities 186
4.2 Liquidity Issues 188
4.3 Role of Central Banks 191
4.4 Conclusions 196
References 214
Part II Theories Past 224
Chapter 5: Random Walks 225
5.1 The Efficient-Market Hypothesis 226
5.2 Capital Asset Pricing Models 227
5.3 Volatility Aspects 230
Volatility and Modern Portfolio Theory 230
Volatility Implications 232
5.4 Conclusions 237
References 249
Chapter 6: Rationality Rules 255
6.1 Rational Expectations 255
6.2 Asset Bubble and Crash Analyses 257
Rational Bubbles and Crashes 260
Other Studies 263
Testing Methods 267
Flow of Funds Factors 269
Crashes 270
6.3 Math Takes Over 273
Power Laws 273
Chaos Concepts 275
Brownian Motions 276
6.4 Conclusions 277
References 293
Chapter 7: Behavioral Beats 306
7.1 Overview 306
7.2 Biases, Violations, and Correlations 309
7.3 Response Inversion and Feedback 311
7.4 Herding 312
7.5 Anomalies 315
7.6 Conclusions 316
References 323
Part III Theories Present and Future 331
Chapter 8: Bubble Dynamics 332
8.1 Building Blocks 332
8.2 Equity Risk Premiums 333
Definitions 334
Estimation Problems 334
8.3 Elasticity, Equilibrium, and Exponentiality 340
TPUTs and Path Lengths 340
Elasticity 342
Equilibrium 344
Exponentiality 347
8.4 Transactions Volume Aspects 349
8.5 Conclusions 351
References 364
Chapter 9: Behavioral Risk Features 370
9.1 Behavioral Risk Premium 370
9.2 Two-Component Premiums 370
9.3 High-Anxiety Smiles 371
9.4 Transactions Per Unit Time 374
9.5 Conclusions 378
References 382
Chapter 10: Estimating and Forecasting 384
10.1 Preliminaries 384
At Peaks and Troughs 384
Runs 385
Variance 387
10.2 EOV Bubbles and Crashes 387
10.3 Empirical Results 389
10.4 Predictability and Forecasting 390
Predictability21 390
Forecasting27 392
10.5 Conclusions 394
References 401
Part IV: Roundup 404
Chapter 11: Financial Asset Bubble Theory 405
11.1 Research Results 408
11.2 Knowns and Conjectures 409
Knowns 409
Conjectures 410
11.3 Further Research Directions 410
References 413
Glossary 415
References 422
Index 486

Produkt-Details

• Erscheint lt. Verlag: 16.8.2018
• Zusatzinfo: XLIII, 477 p.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: behavioral risk • capital asset pricing models • Central Banks • Econometric Methods • efficient-market hypothesis • Efficient Markets • Financial asset bubble theory • financial asset price bubbles • Financial Crises • Financial Crisis • Market bubbles • Market crashes
• ISBN-10: 3-319-71528-3 / 3319715283
• ISBN-13: 978-3-319-71528-5 / 9783319715285