Financial Market Bubbles and Crashes（ISBN=9780521199674） pdf mobi txt word epub 下载 2024

Despite the thousands of articles and the millions of times that

the word 'bubble' has been used in the business press, there still

does not appear to be a cohesive theory or persuasive empirical

approach with which to study 'bubble' and 'crash' conditions. This

book presents a plausible and accessible de*ive theory and

empirical approach to the analysis of such financial market

conditions. It advances such a framework through application of

standard econometric methods to its central idea, which is that

financial bubbles reflect urgent short side rationed demand. From

this basic idea, an elasticity of variance concept is developed. It

is further shown that a behavioral risk premium can probably be

measured and related to the standard equity risk premium models in

a way that is consistent with conventional theory.

Part I. Background for Analysis:

1. Introduction

2. Bubble stories

3. Random walks

4. Bubble theories

5. Framework for investigation

Part II. Empirical Features and Results:

6. Bubble basics

7. Bubble dynamics

8. Money and credit features

9. Behavioral risk features

10. Crashes, panics, and chaos

11. Financial asset bubble theory

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书籍介绍

Despite the thousands of articles and the millions of times that the word 'bubble' has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study 'bubble' and 'crash' conditions. This book presents a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory.