Financial market bubbles and crashes / Harold L. Vogel.

Format:

Book

Author/Creator:

Vogel, Harold L., 1946- author.

Language:

English

Subjects (All):

Capital market.

Financial crises.

Commercial crimes.

Physical Description:

1 online resource (xxvi, 358 pages) : digital, PDF file(s).

Other Title:

Financial Market Bubbles & Crashes

Place of Publication:

Cambridge : Cambridge University Press, 2010.

Language Note:

English

Summary:

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.

Contents:

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.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references and index.

ISBN:

1-316-09851-6

1-316-09733-1

1-316-10144-4

1-316-09837-0

1-316-10080-4

1-316-10221-1

1-316-09990-3

1-316-10372-2

0-511-80665-5