Margin loans and stock market bubbles: an analytical model and empirical tests of selected results
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt am Main
Knapp
2006
|
| Series: | Ifk-Edition
16 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 295 S. graph. Darst. |
| ISBN: | 3831407940 |
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| 245 | 1 | 0 | |a Margin loans and stock market bubbles |b an analytical model and empirical tests of selected results |c Markus Ricke |
| 264 | 1 | |a Frankfurt am Main |b Knapp |c 2006 | |
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| adam_text | Contents
1 Introduction 1
1.1 Motivation 1
1.2 Basic idea of the model, methodology and structure of the disser¬
tation 4
2 A review of previous research on asset price bubbles and mar¬
gin loans 9
2.1 Asset price bubbles 10
2.1.1 The efficiency of capital markets Theory and empirical
evidence 10
2.1.2 Bubble models 16
2.2 Margin loans 22
2.2.1 The commonly supposed link between margin loans and
stock market bubbles 24
2.2.2 Margin requirements by different institutions 25
2.2.3 A review of previous research on the economic effects of
margin requirements 27
2.2.3.1 Analytical research 28
2.2.3.2 Empirical studies 29
2.2.3.2.1 Margin requirements studies 30
2.2.3.2.2 Margin eligibility studies 36
Contents
3 The contribution of margin loans to the emergence of bubbles 41
3.1 The basic model 42
3.1.1 A simple framework to determine the fundamental value
of a risky asset Pf 43
3.1.2 The determination of Pf and the definition of a bubble 47
3.1.3 The introduction of a margin loan into the model ... 49
3.2 The reservation price Pm for the risky asset 50
3.2.1 The expected additional net return ANR* from a margin
loan financed investment in the risky asset 52
3.2.2 Conditions under which Pm Pf 62
3.2.3 An economic interpretation of Conditions (3.15) and (3.16) 72
3.3 The lending institution 88
3.3.1 The characteristics of the lending institution 89
3.3.2 The expected repayment RL and the opportunity cost of
granting a margin loan of q in t0 91
3.3.3 Conditions under which RL is lower than the margin loan s
opportunity cost 97
3.3.4 The possibility of the emergence of a bubble when the
lending institution is rational 104
3.4 The regulation of margin lending 109
3.4.1 The suitability of an initial margin requirement to rule out
the emergence of a bubble 113
3.4.2 Implications for the Federal Reserve s margin policy . . 117
4 Empirical results concerning the findings of Chapter 3 127
4.1 The impact of margin lending on asset prices 127
4.2 The interest rate on margin loans 133
4.2.1 The derivation of testable implications from our theoreti¬
cal model 133
4.2.2 The empirical model and the hypotheses 140
4.2.3 Results of the empirical tests 149
Contents xi
4.2.4 The risk premium on margin loans 164
4.3 The impact of margin regulation on asset prices 170
4.4 The level of margin lending 178
4.4.1 Previous empirical results on the determinants of the level
of margin lending 179
4.4.2 The derivation of testable implications from our theoreti¬
cal model 183
4.4.3 The empirical model and the hypotheses 191
4.4.4 Results of the empirical tests 195
5 Summary and conclusions 205
5.1 The link between margin loans and stock market bubbles . . . 206
5.2 The conditions under which margin lending can lead to stock
market bubbles 207
5.3 The potential role of margin regulation in the prevention of stock
market bubbles and implications for margin policy 210
5.4 The economic significance of our results 211
Appendix 217
A.I Proof that, for i = rs, Condition (3.15) is identical to Condi¬
tion (3.16) 217
A.2 Proof that, for q • i/rs = ra/(wu • (ru r i)), Equation (3.17) is
equivalent to Equation (3.14) 218
A.3 Prices for which RL(P) is lower than q • rs 219
A.4 Examples for RL(P) 220
A.5 Proof that Condition (3.32) always holds when Condition (3.30)
holds 223
A.6 Summary statistics 224
A.7 Plots of control variables 228
A. 8 Results of the Breusch Godfrey tests 229
A.9 Results of the White heteroscedasticity tests 230
xii Contents
A.10 Results of the augmented Dickey Puller tests 231
A.ll Results of the Phillips Perron tests 234
A.12 Results of the augmented Engle Granger tests 237
A.13 Results of the robustness tests 239
A.13.1 The interest rate on margin loans 239
A.13.2 The risk premium on margin loans 244
A.13.3 The level of margin lending 246
A.14 Data sources 252
List of Figures 253
List of Tables 255
Selected symbols 258
Abbreviations 263
Bibliography 265
|
| adam_txt |
Contents
1 Introduction 1
1.1 Motivation 1
1.2 Basic idea of the model, methodology and structure of the disser¬
tation 4
2 A review of previous research on asset price bubbles and mar¬
gin loans 9
2.1 Asset price bubbles 10
2.1.1 The efficiency of capital markets Theory and empirical
evidence 10
2.1.2 Bubble models 16
2.2 Margin loans 22
2.2.1 The commonly supposed link between margin loans and
stock market bubbles 24
2.2.2 Margin requirements by different institutions 25
2.2.3 A review of previous research on the economic effects of
margin requirements 27
2.2.3.1 Analytical research 28
2.2.3.2 Empirical studies 29
2.2.3.2.1 Margin requirements studies 30
2.2.3.2.2 Margin eligibility studies 36
Contents
3 The contribution of margin loans to the emergence of bubbles 41
3.1 The basic model 42
3.1.1 A simple framework to determine the fundamental value
of a risky asset Pf 43
3.1.2 The determination of Pf and the definition of a bubble 47
3.1.3 The introduction of a margin loan into the model . 49
3.2 The reservation price Pm for the risky asset 50
3.2.1 The expected additional net return ANR* from a margin
loan financed investment in the risky asset 52
3.2.2 Conditions under which Pm Pf 62
3.2.3 An economic interpretation of Conditions (3.15) and (3.16) 72
3.3 The lending institution 88
3.3.1 The characteristics of the lending institution 89
3.3.2 The expected repayment RL and the opportunity cost of
granting a margin loan of q in t0 91
3.3.3 Conditions under which RL is lower than the margin loan's
opportunity cost 97
3.3.4 The possibility of the emergence of a bubble when the
lending institution is rational 104
3.4 The regulation of margin lending 109
3.4.1 The suitability of an initial margin requirement to rule out
the emergence of a bubble 113
3.4.2 Implications for the Federal Reserve's margin policy . . 117
4 Empirical results concerning the findings of Chapter 3 127
4.1 The impact of margin lending on asset prices 127
4.2 The interest rate on margin loans 133
4.2.1 The derivation of testable implications from our theoreti¬
cal model 133
4.2.2 The empirical model and the hypotheses 140
4.2.3 Results of the empirical tests 149
Contents xi
4.2.4 The risk premium on margin loans 164
4.3 The impact of margin regulation on asset prices 170
4.4 The level of margin lending 178
4.4.1 Previous empirical results on the determinants of the level
of margin lending 179
4.4.2 The derivation of testable implications from our theoreti¬
cal model 183
4.4.3 The empirical model and the hypotheses 191
4.4.4 Results of the empirical tests 195
5 Summary and conclusions 205
5.1 The link between margin loans and stock market bubbles . . . 206
5.2 The conditions under which margin lending can lead to stock
market bubbles 207
5.3 The potential role of margin regulation in the prevention of stock
market bubbles and implications for margin policy 210
5.4 The economic significance of our results 211
Appendix 217
A.I Proof that, for i = rs, Condition (3.15) is identical to Condi¬
tion (3.16) 217
A.2 Proof that, for q • i/rs = ra/(wu • (ru r i)), Equation (3.17) is
equivalent to Equation (3.14) 218
A.3 Prices for which RL(P) is lower than q • rs 219
A.4 Examples for RL(P) 220
A.5 Proof that Condition (3.32) always holds when Condition (3.30)
holds 223
A.6 Summary statistics 224
A.7 Plots of control variables 228
A. 8 Results of the Breusch Godfrey tests 229
A.9 Results of the White heteroscedasticity tests 230
xii Contents
A.10 Results of the augmented Dickey Puller tests 231
A.ll Results of the Phillips Perron tests 234
A.12 Results of the augmented Engle Granger tests 237
A.13 Results of the robustness tests 239
A.13.1 The interest rate on margin loans 239
A.13.2 The risk premium on margin loans 244
A.13.3 The level of margin lending 246
A.14 Data sources 252
List of Figures 253
List of Tables 255
Selected symbols 258
Abbreviations 263
Bibliography 265 |
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| index_date | 2024-07-02T14:32:31Z |
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| language | English |
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| spelling | Ricke, Markus Verfasser aut Margin loans and stock market bubbles an analytical model and empirical tests of selected results Markus Ricke Frankfurt am Main Knapp 2006 XII, 295 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Ifk-Edition 16 Zugl.: Münster, Univ., Diss., 2005 Spekulative Blase (DE-588)4450213-8 gnd rswk-swf Börsenkurs (DE-588)4375974-9 gnd rswk-swf Regulierung (DE-588)4201190-5 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Kredit (DE-588)4032923-9 gnd rswk-swf Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kredit (DE-588)4032923-9 s Börsenkurs (DE-588)4375974-9 s Anlageverhalten (DE-588)4214003-1 s Spekulative Blase (DE-588)4450213-8 s Wertpapiermarkt (DE-588)4189708-0 s Regulierung (DE-588)4201190-5 s DE-604 Ifk-Edition 16 (DE-604)BV011534934 16 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014770208&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ricke, Markus Margin loans and stock market bubbles an analytical model and empirical tests of selected results Ifk-Edition Spekulative Blase (DE-588)4450213-8 gnd Börsenkurs (DE-588)4375974-9 gnd Regulierung (DE-588)4201190-5 gnd Anlageverhalten (DE-588)4214003-1 gnd Kredit (DE-588)4032923-9 gnd Wertpapiermarkt (DE-588)4189708-0 gnd |
| subject_GND | (DE-588)4450213-8 (DE-588)4375974-9 (DE-588)4201190-5 (DE-588)4214003-1 (DE-588)4032923-9 (DE-588)4189708-0 (DE-588)4113937-9 |
| title | Margin loans and stock market bubbles an analytical model and empirical tests of selected results |
| title_auth | Margin loans and stock market bubbles an analytical model and empirical tests of selected results |
| title_exact_search | Margin loans and stock market bubbles an analytical model and empirical tests of selected results |
| title_exact_search_txtP | Margin loans and stock market bubbles an analytical model and empirical tests of selected results |
| title_full | Margin loans and stock market bubbles an analytical model and empirical tests of selected results Markus Ricke |
| title_fullStr | Margin loans and stock market bubbles an analytical model and empirical tests of selected results Markus Ricke |
| title_full_unstemmed | Margin loans and stock market bubbles an analytical model and empirical tests of selected results Markus Ricke |
| title_short | Margin loans and stock market bubbles |
| title_sort | margin loans and stock market bubbles an analytical model and empirical tests of selected results |
| title_sub | an analytical model and empirical tests of selected results |
| topic | Spekulative Blase (DE-588)4450213-8 gnd Börsenkurs (DE-588)4375974-9 gnd Regulierung (DE-588)4201190-5 gnd Anlageverhalten (DE-588)4214003-1 gnd Kredit (DE-588)4032923-9 gnd Wertpapiermarkt (DE-588)4189708-0 gnd |
| topic_facet | Spekulative Blase Börsenkurs Regulierung Anlageverhalten Kredit Wertpapiermarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014770208&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV011534934 |
| work_keys_str_mv | AT rickemarkus marginloansandstockmarketbubblesananalyticalmodelandempiricaltestsofselectedresults |