Signalling the Dotcom bubble: A multiple changes in persistence approach

Leone, Vitor; Medeiros, Otávio Ribeiro de

doi:10.1016/j.qref.2014.08.006

Cited by 7 publications

(7 citation statements)

References 57 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Some studies examine the relations (with the use of dynamic modelling) between real estate cycles and population numbers (Fernández, Marrón, and Rodríguez, 2016). The next study shows multidimensionality of changes in the sustainability of the dividend and the price to change in the NASDAQ composite indicator (Leone and de Medeiros, 2015). The main goal of a recent study (Li, Sun, and Boersma, 2019) is to determine the side effect of regulatory politics with regard to real estate, imposed by main cities upon surrounding towns in various urban agglomerations on the basis of regional connections characteristic to the Chinese real estate market.…”

Section: A Literature Review On the Time-frequency Analysis Within Thmentioning

confidence: 88%

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

View full text Add to dashboard Cite

Due to the increasingly complex market situation characterized by the growing variability of its determinants, making accurate decisions is riddled with an increasing risk of error. Widely used economic methods for analyzing market phenomena with a trajectory of time series has proved insufficient in many cases. Hence, it becomes necessary to seek more precise analytic methods, based on which it is be possible to obtain more precise mapping and relations in real-life activities. The goal of the present study is to apply the time-frequency analysis in the domain of real estate. Based on the application of, among others, Savitzky-Golay filtering, spectral density analysis, or cross-correlation, the time-frequency analysis will render it possible to precisely identify the parameters that selectively determine the housing market. The obtained results will make it possible to decrease the informational gap in the investment decision-making process in the housing market

show abstract

Section: A Literature Review On the Time-frequency Analysis Within Thmentioning

confidence: 88%

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

View full text Add to dashboard Cite

show abstract

“…A market is efficient when the prices of the assets traded in it always fully reflect the available information (Fama, 1970). However, the EMH is contested by various studies that provide evidence that investors can present irrational behaviors and react in an exaggerated way to new information, whether good or bad, creating opportunities for abnormal gains (Costa, 1994;De Bondt & Thaler, 1985;Jegadeesh & Titman, 1993;Kimura, 2003;Leone & Medeiros, 2015;Piccoli, Souza, Silva & Cruz, 2015;Shiller, 2003).…”

Section: Misvaluation and Behavioral Biasmentioning

confidence: 99%

“…Gomes, Mól, and Souto (2015) momentaneous (short-term) deviations from the EMH, in the semi-strong form, as well as opposing heuristics for the first and second line assets, showing non-symmetrical behavioral effects for these categories of assets. Leone and Medeiros (2015) found indications of the presence of misvaluation, detecting that security prices do not always immediately react to all available information (EMH assumptions) and identifying undervalued prices for NASDAQ shares in the period from February 1973 to June 1992 (negative bubble) and overvalued prices in the period from December 1998 to July 2001 (positive bubble).…”

Section: Misvaluation and Behavioral Biasmentioning

confidence: 99%

“…Various studies have found indications that quotation prices do not always follow the EMH assumptions regarding the immediate adjustment of prices to all available information (Aguiar, Sales & Sousa, 2008;Costa, 1994;De Bondt & Thaler, 1985;Jegadeesh & Titman, 1993;Gokhale et al, 2015;Rabelo & Ikeda, 2004). In more extreme and persistent situations, the formation of positive or negative bubbles can even occur [for example, Leone and Medeiros (2015) and Leybourne, Kim, and Taylor (2007)]. Thus, the existence of misvaluation may persist for longer periods of time.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Misvaluation and behavioral bias in the Brazilian stock market

Júnior

Medeiros

Caldas

et al. 2019

Rev. contab. finanç.

View full text Add to dashboard Cite

The study sought to apply the model developed by Gokhale et al. (2015) to identify the existence of overreaction and behavioral biases in the Brazilian stock market and analyze its performance as an investment strategy on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) in the short term and long term, as well as test its robustness with time window simulations. The impacts of behavioral finance on capital markets can affect economic decisions, perpetuate or increase asset pricing anomalies, and in more extreme and persistent situations contribute to the formation of bubbles that can compromise the entire financial system of a country. The study pioneers an innovative methodology in the Brazilian stock market for identifying behavioral biases and obtaining abnormal returns and higher returns than the Ibovespa. The research uses the model developed by Gokhale, Tremblay, and Tremblay (2015) in three samples with quotations data for Brazilian publicly-traded companies that compose the Ibovespa and IBrA in the period from 2005 to 2016. With the R statistical software, the Fundamental Valuation Index (FVI) was calculated for each sample share and each year. From the FVI index, the undervalued shares were identified, indicating that the sales price does not reflect their economic fundamentals, and portfolio simulations were carried out for investment over three months or the next year. The results indicate the possible existence of overreaction and behavioral biases in the Brazilian stock market, which lead to the possibility of higher abnormal returns than those of the Ibovespa. Similar to the US market, at the end of the 2006-2016 period simulated portfolios yielded more than 274%, while the Ibovespa yielded approximately 80%. The robustness tests attest to the effectiveness of the model. The various investment portfolios, simulated over different time horizons, yielded more than the Ibovespa on average. The study also confirmed the assumptions of Gokhale, Tremblay, and Tremblay (2015) regarding the model's inadequacy for short-term strategies.

show abstract

“…Welfare analysis with empirical prediction is subject to examine [3]. Also, the pure statistical tests are suitable to describe bubble [4]. But alternative assessment can be provided by another angle of view on bubbles [5].…”

Section: Introduction and Relevance Of The Topicmentioning

confidence: 99%

Comparison of Selected Market Indicators During the Dot-Com Bubble

Schubert¹,

Gavurová²,

Kováč³

et al. 2018

Financial Management From an Emerging Market Perspective

View full text Add to dashboard Cite

Since the outbreak of the recent inancial crisis in 2007, central banks around the world have lowered interest rates while stock markets soared. On the example of North America, Europe, and Asia and in particular the United States, Germany, and China, the situation as of December 2015 is compared on the basis of economic theory and selected key performance indicators to the United States dot-com bubble in the nineties years of the twentieth century. Literature review ofers a complex general view on the issue of market bubbles with a historical review of the situation in 2007 and 2008. The only indication of a bubble can be found in the China Securities Index 300, more speciically in the technology sector. The further aim of the paper is related to analyse and compare returns of the explored indices among the regions and the sectors. On a broader level, the study inds that even though there are similarities, the current rise in indices does not qualify for an asset price bubble. Conclusion sums all the observed indings on both the levelsregional and national. Also, it ofers suggestions for discussion about the situation on the markets after the inancial crisis.

show abstract

Signalling the Dotcom bubble: A multiple changes in persistence approach

Cited by 7 publications

References 57 publications

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

Misvaluation and behavioral bias in the Brazilian stock market

Comparison of Selected Market Indicators During the Dot-Com Bubble

Contact Info

Product

Resources

About