Financial Market Bubbles and Crashes: Features, Causes, and Effects, Second Edition
by Harold L. Vogel (Author)

About the Author
Harold (Hal) L. Vogel was the senior entertainment industry analyst at Merrill Lynch and inducted into Institutional Investor magazine’s All-America Research Team Hall of Fame in 2011. Holder of a PhD in financial economics, he is also a chartered financial analyst (C.F.A.) and served as an adjunct professor at Columbia University’s Graduate School of Business. His books include Entertainment Industry Economics: A Guide for Financial Analysis (10th edition forthcoming) and Travel Industry Economics: A Guide for Financial Analysis (3rd edition 2016). He currently heads an independent investment and consulting firm in New York City.

About this book
Econo-mists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial econo-mists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

Table of contents
Part I Background 1
    1 Introduction 3
        1. 1 Overview 3
        1. 2 On the Nature of Humans and Bubbles 7
        1. 3 Central Features 14
        1. 4 On Defining Bubbles 17
        1. 5 Credit, Debt, and Commonalities 20
    References 35
    2 Bubble Stories 47
        2. 1 Tulips 47
        2. 2 England and France, 1700s 49
        2. 3 British Railway Mania 53
        2. 4 The Roaring Twenties 54
        2. 5 Japan 1989 56
        2. 6 Tech/ Internet Stocks, 1987 and 2000 60
        2. 7 Housing, Credit, and Commodities, 2002–2008 68
        2. 8 Yield-Chasing, 2009–2017 75
        2. 9 Conclusions 80
        References 102
    3 Crash Stories 117
        3. 1 Crashes, Panics, and Collapses 117
        3. 2 Nowhere to Hide 122
        3. 3 Storm Cats 126
        3. 4 Conclusions 128
        References 139
    4 Money and Credit Features 145
        4. 1 Historical Perspectives 145
        4. 2 Liquidity Issues 150
        4. 3 Role of Central Banks 153
        4. 4 Conclusions 158
        References 176
Part II Theories Past 187
    5 Random Walks 189
        5. 1 The Efficient-Market Hypothesis 190
        5. 2 Capital Asset Pricing Models 191
        5. 3 Volatility Aspects 194
        5. 4 Conclusions 201
        References 213
    6 Rationality Rules 219
        6. 1 Rational Expectations 219
        6. 2 Asset Bubble and Crash Analyses 221
        6. 3 Math Takes Over 237
        6. 4 Conclusions 241
        References 257
    7 Behavioral Beats 271
        7. 1 Overview 271
        7. 2 Biases, Violations, and Correlations 274
        7. 3 Response Inversion and Feedback 276
        7. 4 Herding 277
        7. 5 Anomalies 280
        7. 6 Conclusions 281
        References 288
Part III Theories Present and Future 297
    8 Bubble Dynamics 299
        8. 1 Building Blocks 299
        8. 2 Equity Risk Premiums 300
        8. 3 Elasticity, Equilibrium, and Exponentiality 307
        8. 4 Transactions Volume Aspects 316
        8. 5 Conclusions 318
        References 331
    9 Behavioral Risk Features 337
        9. 1 Behavioral Risk Premium 337
        9. 2 Two-Component Premiums 337
        9. 3 High-Anxiety Smiles 338
        9. 4 Transactions Per Unit Time 341
        9. 5 Conclusions 345
        References 349
    10 Estimating and Forecasting 351
        10. 1 Preliminaries 351
        10. 2 EOV Bubbles and Crashes 354
        10. 3 Empirical Results 356
        10. 4 Predictability and Forecasting 357
        10. 5 Conclusions 361
        References 368
Part IV Roundup 371
    11 Financial Asset Bubble Theory 373
        11. 1 Research Results 376
        11. 2 Knowns and Conjectures 377
        11. 3 Further Research Directions 378
        References 381

Length: 477 pages
Publisher: Palgrave Macmillan; 2nd ed. 2018 edition (July 2, 2018)
Language: English
ISBN-10: 3319715275
ISBN-13: 978-3319715278

PDF version


EPUB version