Financial Market Bubbles and Crashes

Business & Finance, Accounting, Finance & Investing, Finance
Cover of the book Financial Market Bubbles and Crashes by Harold L. Vogel, Cambridge University Press
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Author: Harold L. Vogel ISBN: 9781316098516
Publisher: Cambridge University Press Publication: December 14, 2009
Imprint: Cambridge University Press Language: English
Author: Harold L. Vogel
ISBN: 9781316098516
Publisher: Cambridge University Press
Publication: December 14, 2009
Imprint: Cambridge University Press
Language: English

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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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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