On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type

Montrucchio, Luigi; Privileggi, Fabio

doi:10.1006/jeth.2000.2718

Cited by 45 publications

(13 citation statements)

References 19 publications

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“…Although it is important for policymakers to identify housing bubbles, it is difficult to establish their existence (Drifill and Sola ; Montrucchio and Privileggi ). For this reason, we observe conflicting evidence.…”

Section: Housing Bubbles Worldwidementioning

confidence: 99%

Earnings Quality in a Bubble Period: The Case of Construction Activity Firms in Spain

Navarro-García

Guijarro

2017

Australian Accounting Review

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Housing bubbles may result in deep crises that affect all economic systems. This study investigates how the recent housing bubble in Spain has affected earnings quality during the whole bubble. To this end, we use data on mostly private construction activity firms in Spain, that is, construction and real estate companies. Earnings quality is studied by means of the predictive ability of earnings, conservatism, discretionary accruals and real earnings management. The results indicate a progressive decrease in the quality of financial reporting as the bubble develops, as managers try to conceal an underlying downward trend. We further show that earnings quality continues to decline even after the bubble bursts. Overall, this contribution, together with those of other environments, may suggest that, in a bubble context, we have to take care of firms’ earnings quality even some years before the crisis comes to the fore.

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Section: Housing Bubbles Worldwidementioning

confidence: 99%

Earnings Quality in a Bubble Period: The Case of Construction Activity Firms in Spain

Navarro-García

Guijarro

2017

Australian Accounting Review

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“…The set Z P (X) is compact, convex, symmetric with respect to 1 2 µ, contains 0, and lies in the positive orthant, therefore it is contained in the hypercube…”

Section: Zonoids and Distributions On The Simplexmentioning

confidence: 99%

“…Consider a point t ∈ ∂Z P (X) such that t ∈ ∂Z P (Y) and a supporting line h t of Z P (X) through t. Consider then the point t symmetric to t with respect to 1 2 µ and the line h t through t parallel to h t . The two lines h t and h t partition R 2 into three regions.…”

Section: Zonoids and Distributions On The Simplexmentioning

confidence: 99%

Zonoids, linear dependence, and size-biased distributions on the simplex

Scarsini

Dall’Aglio

2003

Adv. Appl. Probab.

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The zonoid of a d-dimensional random vector is used as a tool for measuring linear dependence among its components. A preorder of linear dependence is defined through inclusion of the zonoids. The zonoid of a random vector does not characterize its distribution, but it does characterize the size-biased distribution of its compositional variables. This fact will allow a characterization of our linear dependence order in terms of a linear-convex order for the size-biased compositional variables. In dimension 2 the linear dependence preorder will be shown to be weaker than the concordance order. Some examples related to the Marshall-Olkin distribution and to a copula model will be presented, and a class of measures of linear dependence will be proposed.

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“…This is in sharp contrast with the view that rational bubbles are fragile/special. For example, Montrucchio and Privileggi (2001) show, under weak assumptions on agent's preferences, that bubbles cannot exist in a representative agent economy. As mentioned earlier, even with heterogeneous agents, Santos and Woodford (1997) prove that bubbles are only possible if interest rates are low.…”

Section: Introductionmentioning

confidence: 99%

Robust Bubbles with Mild Penalties for Default

Bidian

2013

SSRN Journal

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On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type

Cited by 45 publications

References 19 publications

Earnings Quality in a Bubble Period: The Case of Construction Activity Firms in Spain

Earnings Quality in a Bubble Period: The Case of Construction Activity Firms in Spain

Zonoids, linear dependence, and size-biased distributions on the simplex

Robust Bubbles with Mild Penalties for Default

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