Financial market bubbles and crashes:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2010
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | XXVI, 358 S. Ill., graph. Darst. |
| ISBN: | 9780521199674 0521199670 |
Internformat
MARC
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| 100 | 1 | |a Vogel, Harold L. |d 1946- |e Verfasser |0 (DE-588)1011436361 |4 aut | |
| 245 | 1 | 0 | |a Financial market bubbles and crashes |c Harold L. Vogel |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2010 | |
| 300 | |a XXVI, 358 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 0 | |a Capital market | |
| 650 | 0 | |a Financial crises | |
| 650 | 0 | |a Commercial crimes | |
| 650 | 4 | |a Business cycles | |
| 650 | 4 | |a Financial crises | |
| 650 | 4 | |a Speculation | |
| 650 | 0 | 7 | |a Finanzkrise |0 (DE-588)7635855-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Spekulative Blase |0 (DE-588)4450213-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Finanzkrise |0 (DE-588)7635855-0 |D s |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-018708880 | ||
Datensatz im Suchindex
| _version_ | 1804140824542314496 |
|---|---|
| adam_text | Contents
Prologue page
xiii
Preface
xvii
Part
I: Background for analysis
1
Chapter
1
Introduction
3
1.1
Overview
3
1.2
On the nature of humans and bubbles
7
Macro aspects
7
Social and utility theory aspects
11
Psychology and money
13
Equilibrium aspects
14
1.3
Central features
14
1.4
On defining bubbles
15
vu
viii Contents
Chapter
2
Bubble stories
27
2.1
Tulips
27
2.2
England and France, 1700s
29
South Sea Bubble
29
Mississippi Bubble
30
2.3
The Roaring Twenties
32
2.4
Japan
1989 34
2.5
Tech/Internet Stocks,
1987
and
2000 38
2.6
Housing, credit, and commodities,
2002-8 42
Housing and credit
42
Commodities
46
2.7
Conclusions
48
Chapter
3
Random walks
60
3.1
The efficient market hypothesis
61
3.2
Capital Asset Pricing Models
62
3.3
Volatility aspects
65
Volatility and modern portfolio theory
65
Volatility implications
66
3.4
Conclusions
69
Chapter
4
Bubble theories
77
4.1
Rational expectations
77
4.2
Behavioral features
79
Behavioral finance I
79
Behavioral finance II
81
Herding and anomalies
84
4.3
Asset bubble and crash analyses
86
Rational bubbles and crashes
88
Other studies
91
Testing methods
95
Flow of funds factors
96
Crashes
98
4.4
Power laws and chaos concepts
99
Power laws
99
Chaos concepts
103
4.5
Conclusions
104
Chapter
5
Framework for investigation
120
5.1
What s a bubble?
121
5.2
Credit, debt, and other commonalities
123
5.3
Entropy and information
127
Contents ix
5.4
Toward a new theory
130
Characterizational issues
130
Geary s test
131
Length and number of runs
132
Launch zone conditions
133
Peak zone conditions
133
Real runs analysis
134
Transactions volume aspects
139
5.5
Conclusions
140
Partii:
Empirical features and results
151
Chapter
6
Bubble basics
153
6.1
Equity risk premiums
154
Overview
154
Estimation problems
154
6.2
Preliminaries
161
Procedural approach
163
Searching for launch zones
165
6.3
Persistence measures
166
6.4
Equilibrium concepts
168
Equilibrium concepts I
-
quasi-equilibrium
169
Equilibrium concepts II
-
Walras,
Bénassy,
and
Malinvaud
170
6.5
Trading volume and variance
172
6.6
Conclusions
173
Chapter
7
Bubble dynamics
183
7.1
Setting up
183
7.2
Path-length, elasticity, and exponentiality
184
Path-lengths
185
Elasticity
187
Absolute quasi-equilibrium
189
Exponentiality
191
Finding bubbles
194
Bubble strength indicator
197
7.3
Reality checks
200
First interpretations
200
Market metrics
201
Coincidental history
202
7.4
Conclusions
205
x
Contents
Chapter
8
Money and credit features
215
8.1
Historical perspectives
215
Theories
215
Realities
217
8.2
Liquidity issues
218
8.3
Role of central banks
222
8.4
Conclusions
223
Chapter
9
Behavioral risk features
229
9.1
Behavioral risk premium
229
9.2
High anxiety
230
9.3
Crooked smiles
230
9.4
Transactions per unit time
233
9.5
Conclusions
237
Chapter
10
Crashes, panics, and chaos
242
10.1
Crashes and panics
242
Crashes
242
Panics and collapses
243
Business cycle aspects
246
Crash strength indicator
248
An empirical application
250
Liquidity effects
253
10.2
Thresholds and velocities
256
10.3
Chaos concepts applied
257
Overview
257
Lyapunov exponents
258
10.4
Conclusions
259
Chapter
11
Financial asset bubble theory
269
11.1
Research results
272
11.2
Predictability and forecasting
275
Predictability
275
In reality
275
Forecasting
275
11.3
Knowns, unknowns, and conjectures
276
Facts
277
Unknowns
277
Conjectures
277
11.4
Further research directions
278
Contents xi
APPENDICES
283
A. Methodological details for finding bubbles
285
B. Observation lookup table
287
C. Damodaran annual statistics
291
Glossary
293
References
301
Index
339
|
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| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
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| indexdate | 2024-07-09T22:06:07Z |
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| isbn | 9780521199674 0521199670 |
| language | English |
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| spelling | Vogel, Harold L. 1946- Verfasser (DE-588)1011436361 aut Financial market bubbles and crashes Harold L. Vogel 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2010 XXVI, 358 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Capital market Financial crises Commercial crimes Business cycles Speculation Finanzkrise (DE-588)7635855-0 gnd rswk-swf Spekulative Blase (DE-588)4450213-8 gnd rswk-swf Finanzkrise (DE-588)7635855-0 s Spekulative Blase (DE-588)4450213-8 s b DE-604 DE-601 pdf/application http://www.gbv.de/dms/bowker/toc/9780521199674.pdf Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018708880&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Vogel, Harold L. 1946- Financial market bubbles and crashes Capital market Financial crises Commercial crimes Business cycles Speculation Finanzkrise (DE-588)7635855-0 gnd Spekulative Blase (DE-588)4450213-8 gnd |
| subject_GND | (DE-588)7635855-0 (DE-588)4450213-8 |
| title | Financial market bubbles and crashes |
| title_auth | Financial market bubbles and crashes |
| title_exact_search | Financial market bubbles and crashes |
| title_full | Financial market bubbles and crashes Harold L. Vogel |
| title_fullStr | Financial market bubbles and crashes Harold L. Vogel |
| title_full_unstemmed | Financial market bubbles and crashes Harold L. Vogel |
| title_short | Financial market bubbles and crashes |
| title_sort | financial market bubbles and crashes |
| topic | Capital market Financial crises Commercial crimes Business cycles Speculation Finanzkrise (DE-588)7635855-0 gnd Spekulative Blase (DE-588)4450213-8 gnd |
| topic_facet | Capital market Financial crises Commercial crimes Business cycles Speculation Finanzkrise Spekulative Blase |
| url | http://www.gbv.de/dms/bowker/toc/9780521199674.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018708880&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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