Financial market: bubbles and crashes

By:

Vogel, Harold L

Material type: Text

TextPublication details: Cambridge University Press New Delhi 2010Description: xxvi, 358 pISBN:

9780521263306

Subject(s):

DDC classification:

338.542 VOG

Summary: Description 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.

List(s) this item appears in: Finance & Accounting | Public Policy & General Management

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Finance & Accounting	338.542 VOG (Browse shelf(Opens below))	1	Available		001782

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Previous	338.542 DAN The illusion of control: why financial crises happen, and what we can (and can't) do about it	338.542 FER A modern guide to financial shocks and crises	338.542 RAP Bubbles, booms, and busts: the rise and fall of financial assets	338.542 VOG Financial market: bubbles and crashes	338.6041 AMA Theoretical foundations of corporate finance	338.8 WES Mergers restructuring and corporate control	338.860973 MEA The complete financial history of Berkshire Hathaway: a chronological analysis of Warren Buffett and Charlie Munger's conglomerate masterpiece	Next

Description

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.

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