Department of Economics and Business Economics

Fama on Bubbles

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Fama on Bubbles. / Engsted, Tom.

In: Journal of Economic Surveys, Vol. 30, No. 2, 2016, p. 370-376.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Engsted, T 2016, 'Fama on Bubbles', Journal of Economic Surveys, vol. 30, no. 2, pp. 370-376. https://doi.org/10.1111/joes.12104

APA

Engsted, T. (2016). Fama on Bubbles. Journal of Economic Surveys, 30(2), 370-376. https://doi.org/10.1111/joes.12104

CBE

Engsted T. 2016. Fama on Bubbles. Journal of Economic Surveys. 30(2):370-376. https://doi.org/10.1111/joes.12104

MLA

Engsted, Tom. "Fama on Bubbles". Journal of Economic Surveys. 2016, 30(2). 370-376. https://doi.org/10.1111/joes.12104

Vancouver

Engsted T. Fama on Bubbles. Journal of Economic Surveys. 2016;30(2):370-376. https://doi.org/10.1111/joes.12104

Author

Engsted, Tom. / Fama on Bubbles. In: Journal of Economic Surveys. 2016 ; Vol. 30, No. 2. pp. 370-376.

Bibtex

@article{ac1b0d34bfbf4f7aa3cd5bf9188f58a9,
title = "Fama on Bubbles",
abstract = "While Eugene Fama has repeatedly expressed his discontent with the notion of an “irrational bubble,” he has never publicly expressed his opinion on “rational bubbles.” 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, and return predictability of the kind documented by Fama does not rule out rational bubbles. On data samples that include the 1990s, there is evidence of an explosive component in stock market valuation ratios, consistent with a rational bubble.",
author = "Tom Engsted",
year = "2016",
doi = "10.1111/joes.12104",
language = "English",
volume = "30",
pages = "370--376",
journal = "Journal of Economic Surveys",
issn = "0950-0804",
publisher = "Wiley-Blackwell Publishing Ltd.",
number = "2",

}

RIS

TY - JOUR

T1 - Fama on Bubbles

AU - Engsted, Tom

PY - 2016

Y1 - 2016

N2 - While Eugene Fama has repeatedly expressed his discontent with the notion of an “irrational bubble,” he has never publicly expressed his opinion on “rational bubbles.” 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, and return predictability of the kind documented by Fama does not rule out rational bubbles. 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 - While Eugene Fama has repeatedly expressed his discontent with the notion of an “irrational bubble,” he has never publicly expressed his opinion on “rational bubbles.” 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, and return predictability of the kind documented by Fama does not rule out rational bubbles. On data samples that include the 1990s, there is evidence of an explosive component in stock market valuation ratios, consistent with a rational bubble.

U2 - 10.1111/joes.12104

DO - 10.1111/joes.12104

M3 - Journal article

VL - 30

SP - 370

EP - 376

JO - Journal of Economic Surveys

JF - Journal of Economic Surveys

SN - 0950-0804

IS - 2

ER -