Bubbles for Fama

• 成果类型: Article
• 署名作者: Greenwood, Robin; Shleifer, Andrei; You, Yang
• 署名单位: Harvard University; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.09.002
• 发表日期: 2019
• 页码: 20-43
• 关键词: Bubble; market efficiency; predictability

摘要

We evaluate Eugene F. Fama's claim that stock prices do not exhibit price bubbles. Based on US industry returns (1926-2014) and international sector returns (1985-2014), we present four findings (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash but not of a further price boom; (3) attributes of the price run-up, including volatility, turnover, issuance, and the price path of the run-up, help forecast an eventual crash; and (4) these attributes also help forecast future returns. Results hold similarly in US and international samples. (C) 2018 Published by Elsevier B.V.