Ciência_Iscte
Publicações
Descrição Detalhada da Publicação
Artigo em revista científica
Q1
Título Revista
International Review of Economics and Finance
Ano (publicação definitiva)
2020
Língua
Inglês
País
Países Baixos (Holanda)
Mais Informação
Web of Science®
Scopus
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Abstract/Resumo
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.
Agradecimentos/Acknowledgements
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Palavras-chave
Speculative bubbles,Asset pricing,Non-stationarity,Adaptive learning,Dynamic models
Classificação Fields of Science and Technology
- Economia e Gestão - Ciências Sociais
Registos de financiamentos
Referência de financiamento | Entidade Financiadora |
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UID/GES/00315/2019 | Fundação para a Ciência e a Tecnologia |