ERN: Speculation in Economic Markets (Topic)最新文献

{"title":"Speculation and Lottery-Like Demand in Cryptocurrency Markets","authors":"Klaus Grobys, J. Junttila","doi":"10.2139/ssrn.3551948","DOIUrl":"https://doi.org/10.2139/ssrn.3551948","url":null,"abstract":"Abstract This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns appear to be short-memory processes, we modify Bali, Cakici and Whitelaw’s (2011) and Bali, Brown, Murray, and Tang’s (2017) MAX measure and employ a weekly forecast horizon and daily log-returns from the previous week to calculate the metric for our portfolio sorts. From an econometric point of view, this study proposes statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data. Our results show that average raw and risk-adjusted return differences between cryptocurrencies in the lowest and highest MAX quintiles exceed 1.50% per week. These results are robust after controlling for Bitcoin risk or potential microstructure effects. Our findings are important also from a theoretical point of view because they suggest that parallel to stock markets, similar behavioral mechanisms of underlying investor behavior are present also in new virtual currency markets.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"207 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114989308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Rational Bubbles in Non-Linear Business Cycle Models: Closed and Open Economies","authors":"Robert Kollmann","doi":"10.24149/gwp378","DOIUrl":"https://doi.org/10.24149/gwp378","url":null,"abstract":"This paper studies rational bubbles in non-linear dynamic general equilibrium models of the macroeconomy. The term ‘Rational bubble’ refers to multiple equilibria due to the absence of a transversality condition (TVC) for capital. The lack of TVC can be due to an OLG population structure. If a TVC is imposed, the macro models considered here have a unique solution. Bubbles reflect self-fulfilling fluctuations in agents’ expectations about future investment. In contrast to explosive rational bubbles in linearized models (Blanchard (1979)), the rational bubbles in non-linear models here are bounded. Bounded rational bubbles provide a novel perspective on the drivers and mechanisms of business cycles. I construct bubbles (in non-linear models) that feature recurrent boom-bust cycles characterized by persistent investment and output expansions which are followed by abrupt contractions in real activity. Both closed and open economies are analyzed. In a non-linear two-country model with integrated financial markets, bubbles must be perfectly correlated across countries. Global bubbles may, thus, help to explain the synchronization of international business cycles.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121257254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Engaging with Discreteness: Gambling, Under-Participation, and Lotteries in Economies with Indivisible Goods","authors":"B. Dai, Pavel Savor, Mungo Ivor Wilson","doi":"10.2139/ssrn.3494006","DOIUrl":"https://doi.org/10.2139/ssrn.3494006","url":null,"abstract":"We study an endowment economy with heterogeneous agents and two complementary consumption goods, one of which is indivisible. Although agents have standard concave preferences, the indivisibility gives rise to Friedman-Savage convexity in indirect utility. Agents care about relative, not just absolute, wealth, and about the magnitude of wealth differences as well as rankings. While agents dislike small risks, they like large ones. Poorer agents exhibit a preference for lottery-like assets with negative expected returns and also invest a smaller share of wealth than richer agents in assets with positive expected returns. If the difference in wealth is large, poor agents play a lottery among themselves with a single winner. In consequence, richer agents have a higher expected return on wealth and inequality is expected to increase. While initial inequality affects investment choices, it has only a minor effect on ultimate inequality. Therefore, standard prescriptions for reducing inequality may have little effect.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125580778","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Speculation Sentiment - Executive Summary","authors":"S. Davies","doi":"10.2139/ssrn.3499346","DOIUrl":"https://doi.org/10.2139/ssrn.3499346","url":null,"abstract":"I exploit a novel setting to measure disagreement between unsophisticated speculators and smart money, that is, the leveraged exchanged-traded funds' (ETFs) primary market. The leveraged ETFs' primary market provides observable arbitrage activity that originates from unobservable speculative demand shocks that create relative mispricing between a leveraged ETF and its underlying derivative securities. I form the Speculation Sentiment Index using the realized arbitrage trades and the index proxies for the direction and magnitude of market-wide speculative demand shocks. The Speculation Sentiment Index predicts aggregate asset returns, anomaly returns, and it is associated with market-wide mispricing and arbitrage activity.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130534863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Price Discovery in the Small and in the Large: Momentum and Reversal, Bubbles and Crashes","authors":"Haim Kedar-Levy","doi":"10.2139/ssrn.1678421","DOIUrl":"https://doi.org/10.2139/ssrn.1678421","url":null,"abstract":"A discrete-time dynamic asset-pricing model specifies the economic rationale for a rich array of price dynamics. Two boundedly-rational investors with different risk preferences trade periodically, where excess supply is cleared by a tâtonnement. Cast at the core of asset-pricing modelling, this structure allows us to explore price discovery intra-periodically, and over time. If dividends are observable the price converges to Merton’s ICAPM, but if investors rely on past realizations, momentum and reversal patterns emerge, which might escalate to bubbles and crashes. The model features increasing volume but declining liquidity during positive bubbles, and lowest liquidity after negative bubbles.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"429 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122867628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"When Are Financial Markets Perfectly Competitive?","authors":"Jeongmin Lee, A. Kyle","doi":"10.2139/ssrn.3182731","DOIUrl":"https://doi.org/10.2139/ssrn.3182731","url":null,"abstract":"We study competitiveness of financial markets in a one-period model, in which traders speculate on private information and hedge endowment shocks. Developing and fully characterizing a new measure of market competitiveness, we find that market becomes perfectly competitive if and only if the number of traders approaches infinity and speculation becomes negligible relative to hedging. While perfect competition – the key assumption for rational expectations equilibrium – is a strong condition, we show when it can be made innocuous and when it cannot. We discuss further implications of market competitiveness for the measurement of liquidity and the real-world financial market design.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"129 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133369444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Effect of Risk Changes on Carry Trade Returns and Speculative Behavior","authors":"Felix Dietrich","doi":"10.2139/ssrn.3222690","DOIUrl":"https://doi.org/10.2139/ssrn.3222690","url":null,"abstract":"This paper analyzes the time-series reaction of carry trade returns to changes in various risk factors. Using non-linear methods, I find that implied currency volatility is an informative time-series predictor. Increases (declines) in the implied currency volatility (or, generally, perceptions of future risk) result in lower (higher) subsequent carry trade returns. The reaction to extreme changes in these risk perceptions is even more pronounced. Using futures positioning data, it is shown that speculators tend to sell carry trade positions upon a perception of increased risk and vice versa. A piecewise linear threshold model is proposed to predict short-term carry trade returns; it outperforms a variety of benchmarks (including the random walk) on almost all metrics. Robustness tests suggest that this performance does not depend on certain model settings or the sample period (i.e. data mining); instead, a rollingly updated model would lead to even better results.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131229465","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Thomas Aquinas (A.K.A. the Medieval Church, Canonists, Scholastics, and Schoolmen) and J M Keynes on the Necessity of Excluding Smith’s Projectors, Imprudent Risk Takers, and Prodigals From Receiving Any Bank Loans","authors":"M. E. Brady","doi":"10.2139/ssrn.3144147","DOIUrl":"https://doi.org/10.2139/ssrn.3144147","url":null,"abstract":"J. M. Keynes had already recognized in his 1930 A Treatise on Money that the major cause of deflation and inflation problems at the macro level was the ability of Smith’s Projectors, Imprudent risk takers, and Prodigals, whom Keynes categorized as Wall Street connected speculators and rentiers (modern day hedge funds, private equity firms, and investment banks) in his General Theory in 1936, were the fundamental problem in a capitalist society because they diverted bank loans from investment in durable capital formation into the financial manipulation of paper claims in various stock and money markets. The General Theory makes it even clearer because it reiterates what he had said in both the A Treatise on Money and in the 1932 Symposium on Usury in the Economic Journal in response to Keynes’s decision to publish a 1931 article by Henry Somerville. Keynes heavily supported Somerville’s major point about the dangers of using bank loans to finance speculative debt leverage practices versus loans to finance the purchase of durable capital equipment. This is the same point made by Smith with respect to loans made to his three categories of upper-income class citizens that Smith labeled as Projectors, Imprudent risk takers, and Prodigals. Both Smith and Keynes were influenced by Aristotle. Keynes admitted that he felt that the arguments of the “ancients”, “Medieval Church”, and “Schoolmen” were also influential in his general conclusions, although he differed from them in some specifics. Smith also used the term “Scholastics” and “Schoolmen” several times in his The Theory of Moral Sentiments. By far the most prominent member of the Medieval Church, Canonists, Scholastics, and Schoolmen was Thomas Aquinas. Somerville, in his June 1936 article in The Commonweal, titled, Usury as a New Issue, argued for a connection between the views of Keynes and Aquinas specifically. He had originally pointed out in the December 1931 issue of the Economic Journal Keynes’s connection with the “canonists” in his A Treatise on Money. In March 1932, the Savings and Usury Symposium was held in the Economic Journal. Keynes essentially states what he latter restated in the General Theory in chapter 23 in 1936. Keynes’s view on the dangers to the macroeconomy of making loans to speculators and rentiers did not change from 1930 until the end of his life. Aquinas’s work on decision making under conditions of ignorance, risk, uncertainty, imperfect information, asymmetric information and imprecise/indeterminate, interval-valued probabilities puts him heads and shoulders above any contemporary thinker until Adam Smith’s Wealth of Nations was published in 1776. Aquinas’s contribution has not been correctly appreciated because of his realization that precise, mathematical, point estimates of both prices and probabilities are generally impossible. This thus greatly constrains the use of the mathematical laws of the probability calculus upon which both neoclassical and modern economi","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127030892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Is There a Housing Bubble in China?","authors":"Tianhao Zhi, Zhongfei Li, Zhi-Qiang Jiang, Lijian Wei, D. Sornette","doi":"10.2139/ssrn.3098064","DOIUrl":"https://doi.org/10.2139/ssrn.3098064","url":null,"abstract":"There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from two aspects. First, we investigate whether the prices had been significantly deviating from economic fundamentals by applying a standard Engle-Granger cointegration test. Second, we apply the Log-Periodic-Power-Law-Singularity (LPPLS) model to detect whether there is any evidence of unsustainable, self-reinforcing speculative behaviours amongst the price series. We propose that, given the heterogeneity that exists amongst cities with different types of bubble signatures, it is vital to conduct bubble diagnostic tests and implement relevant policies toward specific bubble characteristics, rather than enforcing one-that-fits-for-all type policy that does not take into account such heterogeneity.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126308527","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Order Aggressiveness and Flash Crashes","authors":"Khaladdin Rzayev, Gbenga Ibikunle","doi":"10.2139/ssrn.3023230","DOIUrl":"https://doi.org/10.2139/ssrn.3023230","url":null,"abstract":"We present a novel framework illustrating the links between order aggressiveness and flash crashes. Our framework involves a trading sequence beginning with significant increases in aggressive sell orders relative to aggressive buy orders until instruments’ prices fall to their lowest levels. Thereafter, a rise in aggressive buy orders propels prices back to their pre-crash levels. Using a sample of S&P 500 stocks trading during the May 6 2010 flash crash, we show that our framework is correctly specified and provide a basis for linking flash crashes to aggressive strategies, which are found to be more profitable during flash crashes.","PeriodicalId":441972,"journal":{"name":"ERN: Speculation in Economic Markets (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125523311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}