Now showing items 1-3 of 3
Extrapolation and bubbles
(Elsevier BV, 2018-08)
We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals: an average of the asset’s past price changes and the asset’s degree of overvaluation. ...
Predictable Financial Crises
Using historical data on post-war financial crises around the world, we show that crises are substantially predictable. The combination of rapid credit and asset price growth over the prior three years, whether in the ...
Asset Price Dynamics in Partially Segmented Markets
(Oxford University Press (OUP), 2018-09)
We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists can gradually reallocate capital ...