| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23191 |
| 来源ID | Working Paper 23191 |
| Bubbles for Fama | |
| Robin Greenwood; Andrei Shleifer; Yang You | |
| 发表日期 | 2017-02-27 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We evaluate Eugene Fama’s claim that stock prices do not exhibit price bubbles. Based on US industry returns 1926-2014 and international sector returns 1985-2014, we present four findings: (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash; (3) attributes of the price run-up, including volatility, turnover, issuance, and the price path of the run-up can all help forecast an eventual crash and future returns; and (4) some of these characteristics can help investors earn superior returns by timing the bubble. Results hold similarly in US and international samples. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w23191 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580865 |
| 推荐引用方式 GB/T 7714 | Robin Greenwood,Andrei Shleifer,Yang You. Bubbles for Fama. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23191.pdf（1056KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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