Department of Economics and Business Economics

Fama on bubbles

Research output: Working paperResearch

Standard

Fama on bubbles. / Engsted, Tom.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paperResearch

Harvard

Engsted, T 2014 'Fama on bubbles' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Engsted, T. (2014). Fama on bubbles. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2014-28

CBE

Engsted T. 2014. Fama on bubbles. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Engsted, Tom Fama on bubbles. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-28). 2014., 13 p.

Vancouver

Engsted T. Fama on bubbles. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Sep 2.

Author

Engsted, Tom. / Fama on bubbles. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-28).

Bibtex

@techreport{0e3482edae1545848d8b7df51e2dfb30,
title = "Fama on bubbles",
abstract = "Eugene Fama has repeatedly expressed his discontent with the notion of an irrational bubble. However, he has never publicly expressed his opinion on rational bubbles. This is peculiar since such bubbles build naturally from the rational efficient markets paradigm that Fama strongly adheres to. On empirical grounds Fama rejects bubbles by referring to the lack of reliable evidence that price declines are predictable. However, this argument cannot be used to rule out rational bubbles because such bubbles do not necessarily imply return predictability. On data samples that include the 1990s, there is evidence of an explosive component in stock market valuation ratios, consistent with a rational bubble.",
keywords = "Eugene Fama, irrational and rational bubbles, return predictability, explosive stock prices, Eugene Fama, Irrational and rational bubbles, Return predictability, Explosive stock prices",
author = "Tom Engsted",
year = "2014",
month = sep,
day = "2",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2014-28",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Fama on bubbles

AU - Engsted, Tom

PY - 2014/9/2

Y1 - 2014/9/2

N2 - Eugene Fama has repeatedly expressed his discontent with the notion of an irrational bubble. However, he has never publicly expressed his opinion on rational bubbles. This is peculiar since such bubbles build naturally from the rational efficient markets paradigm that Fama strongly adheres to. On empirical grounds Fama rejects bubbles by referring to the lack of reliable evidence that price declines are predictable. However, this argument cannot be used to rule out rational bubbles because such bubbles do not necessarily imply return predictability. On data samples that include the 1990s, there is evidence of an explosive component in stock market valuation ratios, consistent with a rational bubble.

AB - Eugene Fama has repeatedly expressed his discontent with the notion of an irrational bubble. However, he has never publicly expressed his opinion on rational bubbles. This is peculiar since such bubbles build naturally from the rational efficient markets paradigm that Fama strongly adheres to. On empirical grounds Fama rejects bubbles by referring to the lack of reliable evidence that price declines are predictable. However, this argument cannot be used to rule out rational bubbles because such bubbles do not necessarily imply return predictability. On data samples that include the 1990s, there is evidence of an explosive component in stock market valuation ratios, consistent with a rational bubble.

KW - Eugene Fama, irrational and rational bubbles, return predictability, explosive stock prices

KW - Eugene Fama

KW - Irrational and rational bubbles

KW - Return predictability

KW - Explosive stock prices

M3 - Working paper

T3 - CREATES Research Papers

BT - Fama on bubbles

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -