Speculative Dynamics / David M. Cutler, James M. Poterba, Lawrence H. Summers.

Format:

Book

Author/Creator:

Cutler, David M.

Contributor:

National Bureau of Economic Research.

Poterba, James M.

Summers, Lawrence H.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3242.

NBER working paper series no. w3242

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1990.

Summary:

This paper presents evidence on the characteristic speculative dynamics of a wide range of asset returns. It highlights three stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, returns tend to be negatively serially correlated over long horizons. Third, deviations of asset values from proxies for fundamental value have predictive power for returns. These patterns emerge repeatedly in our analyses of stocks, bonds, foreign exchange, real estate, collectibles, and precious metals, and they appear too strong to be attributed only to small sample biases. The pervasive nature of these patterns suggests that they may be lie to inherent features of the speculative process, rather than to variation in risk factors which affect particular markets.

Notes:

Print version record

January 1990.