Speculative bubbles in the S&amp;P 500: Was the tech bubble confined to the tech sector?

Anderson, Keith; Brooks, Chris; Katsaris, Apostolos

doi:10.1016/j.jempfin.2009.12.004

Cited by 79 publications

(43 citation statements)

References 36 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The literature on testing for the presence of bubbles in stock markets alone is extensive (see, for example, Anderson et al, 2010;Brooks and Katsaris, 2003, 2005a, 2005bDezhbakhsh and Demirguc-Kunt;1990;Donaldson and Kamstra, 1996, to name but a few), and the number of papers documenting bubble existence is considerably greater than those finding against. Pastor and Veronesi (2006), on the other hand, argue that the growth of technology stock prices in the 1990s was not necessarily caused by a bubble.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Speculative bubbles and the cross-sectional variation in stock returns

Anderson

Brooks

2014

International Review of Financial Analysis

Self Cite

View full text Add to dashboard Cite

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven fundamentals. EFM classification codes: 310, 330, 350 Acknowledgements: We are grateful to Rajesh Tharyan for providing a list of SEDOL codes matched with those from Datastream, and to Apostolos Katsaris, discussions with whom helped to shape the ideas for this paper.1

show abstract

Section: Introductionmentioning

confidence: 99%

“…However, virtually all existing work has focused on the ex post identification of evidence for or against bubbles at the aggregate stock market-wide level and at the industry level (see Anderson et al, 2010). This implies that there is significant scope for research at the company-specific level.…”

Section: Introductionmentioning

confidence: 99%

Speculative bubbles and the cross-sectional variation in stock returns

Anderson

Brooks

2014

International Review of Financial Analysis

Self Cite

View full text Add to dashboard Cite

show abstract

“…In this regard the industry under consideration must be speciied. For this paper, it is the technology sector which is analysed and even though most of the researchers agree that the dot-com bubble occurred in that sector, others have also identiied spillover efects into other sectors such as inancial, general industrial and non-cyclical services as well [31].…”

Section: Methodsmentioning

confidence: 99%

“…For example, there is a study showing that during the dot-com bubble inancial analysts were more optimistic about internet stocks [30]. Especially in such circumstances fundamental values start to become irrelevant to investors [31]. Also, it must be taken into account that even though there might be an asset price bubble, it can be necessary due to circumstances to ride that bubble instead of acting rationally against the majority of market participants [32].…”

Section: Explanations For the Occurrence Of Asset Price Bubblesmentioning

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

“…El número cv:=[n-2B n (a)] es el a-iésimo percentil de la distribución binomial con parámetros (l, 1/2). S nt es el estadístico definido en la ecuación [4] en el periodo t, con p=1. Entonces, se puede fechar el comienzo de la burbuja para el intervalo como:…”

Section: íNdice De Burbujasunclassified

Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo

Fernández¹,

Uribe²

2016

rev.finanz.polit.econ

View full text Add to dashboard Cite

Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo * RESUMENEn este artículo se analizan diferentes índices accionarios de mercados alrededor del mundo, en el periodo 1995-2013, con el fin de poner a prueba la existencia y fechar la aparición de procesos explosivos en sus mercados de acciones. Se hace uso de una prueba de signo, para construir diferentes índices de burbujas en los mercados financieros representativos de cada región, y se construye además un índice de las principales regiones financieras a partir de modelos dinámicos por factores. Estos índices permiten caracterizar las regiones en términos de riesgo y, asimismo, de ocurrencia de burbujas financieras. Se encuentra evidencia que señala cierto grado de sincronización entre los episodios de burbujas financieras en los mercados analizados y, en general, en todo el mundo.Palabras claves: burbujas, prueba de signo, factores, índices, crisis. JEL : G01, G14, C22, C15, C18, C58Analysis of financial asset price explosions: Evidence from around the world ABSTRACTThis article analyzes different international share price indices for the period 1995-2013, in order to test for the existence and date of appearance of asset price explosions in the world's stock markets. A sign test is employed to construct different indices of bubbles in representative financial markets for each region, using dynamic factor models. These indices permit a * Los autores agradecen los valiosos comentarios y aportes realizados por los dos calificadores y los editores en la elaboración de la versión final del artículo.

show abstract

Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?

Cited by 79 publications

References 36 publications

Speculative bubbles and the cross-sectional variation in stock returns

Speculative bubbles and the cross-sectional variation in stock returns

Comparison of Selected Market Indicators During the Dot-Com Bubble

Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo

Contact Info

Product

Resources

About