Financial market bubbles and crashes / Harold L. Vogel.

By:

Vogel, Harold L, 1946-

Material type: Text

TextPublication details: New York : Cambridge University Press, 2010.Description: xxvi, 358 p. : ill. ; 25 cmISBN:

9780521199674 (hardback)
0521199670 (hardback)

LOC classification:

HG4523 .V64 2010

Contents:

Part I. Background for Analysis -- 1. Introduction -- 2. Bubble stories -- 3. Random walks -- 4. Bubble theories -- 5. Framework for investigation -- Part II. Empirical Features and Results -- 6. Bubble basics -- 7. Bubble dynamics -- 8. Money and credit features -- 9. Behavioral risk features -- 10. Crashes, panics, and chaos -- 11. Financial asset bubble theory.

Summary: "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"--Provided by publisher.Summary: DLC HG4523 .V64 20100 HG4523 .V64 2010 338.5/42

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode
Books	Central Library General Section	338.542 VOG (Browse shelf(Opens below))	Available		002541

Includes bibliographical references and index.

"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"--Provided by publisher.

DLC YDX YDXCP BWX CDX AGL UBY BWK DLC00 HG4523 .V64 20100 HG4523 .V64 2010 22 338.5/42

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