Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Moreira, A. & Martins, L. F. (2020). A new mechanism for anticipating price exuberance. International Review of Economics and Finance. 65, 199-221
Exportar Referência (IEEE) 
A. F. Moreira and L. F. Martins,  "A new mechanism for anticipating price exuberance", in Int. Review of Economics and Finance, vol. 65, pp. 199-221, 2020
Exportar BibTeX 
@article{moreira2020_1722081798186,
	author = "Moreira, A. and Martins, L. F.",
	title = "A new mechanism for anticipating price exuberance",
	journal = "International Review of Economics and Finance",
	year = "2020",
	volume = "65",
	number = "",
	doi = "10.1016/j.iref.2019.10.006",
	pages = "199-221",
	url = "https://www.sciencedirect.com/science/article/pii/S1059056019303016?via%3Dihub"
}
Exportar RIS 
TY  - JOUR
TI  - A new mechanism for anticipating price exuberance
T2  - International Review of Economics and Finance
VL  - 65
AU  - Moreira, A.
AU  - Martins, L. F.
PY  - 2020
SP  - 199-221
SN  - 1059-0560
DO  - 10.1016/j.iref.2019.10.006
UR  - https://www.sciencedirect.com/science/article/pii/S1059056019303016?via%3Dihub
AB  - It is very important for investors, market regulators, and policy makers to possess a trustworthy ex-ante tool capable of anticipating price exuberance events. This paper proposes a new statistical mechanism to predict speculative bubbles by inferring a significant probability of exuberance at least one step ahead of a bubble peak period. Contrary to other approaches, we combine asset pricing modeling and non-stationarity statistical analysis and use both in the context of adaptive learning to build a dynamic model specification. Monte Carlo simulations show that the ex-ante prediction is improved enormously by adding the estimated abnormal returns into the model. In some cases our mechanism predicts 100% of the last bubbles of the sample up to five periods before the peak. Furthermore, the mechanism is able to successfully anticipate the technological bubble observed in the 1990’s by estimating a probability greater than 90%, one month before the bubble peak. Thus, this new mechanism provides an advantage for investors interested in performing a very profitable “bubble surfing” strategy and for market regulators whose responsibility is to maintain market efficiency.
ER  -