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Citations for "Speculative Dynamics And The Role Of Feedback Traders"

by Culter, D.M. & Poterba, J.M. & Summers, L.H.

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  1. John C. Williams, 2013. "Bubbles tomorrow and bubbles yesterday, but never bubbles today?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sept23.
  2. Sanders, Dwight R. & Irwin, Scott H. & Leuthold, Raymond M., 1996. "Noise Trade Demand In Futures Markets," ACE OFOR Reports 14765, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  3. Cifarelli, Giulio & Paladino, Giovanna, 2010. "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, vol. 32(2), pages 363-372, March.
  4. Evans, M.D.D. & Lewis, K.K., 1993. "Trends in Expected Returns in Currency and Bond Markets," Weiss Center Working Papers 93-4, Wharton School - Weiss Center for International Financial Research.
  5. Peter Rowland, 2003. "Forecasting The Usd/Cop Exchange Rate: A Random Walk With A Variable Drift," BORRADORES DE ECONOMIA 002736, BANCO DE LA REPÚBLICA.
  6. Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," NBER Working Papers 3368, National Bureau of Economic Research, Inc.
  7. Kenneth A. Froot & Andre F. Perold & Jeremy C. Stein, 1991. "Shareholder Trading Practices and Corporate Investment Horizons," NBER Working Papers 3638, National Bureau of Economic Research, Inc.
  8. Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy.
  9. Richard H. Clarida & Mark P. Taylor, 1997. "The Term Structure Of Forward Exchange Premiums And The Forecastability Of Spot Exchange Rates: Correcting The Errors," The Review of Economics and Statistics, MIT Press, vol. 79(3), pages 353-361, August.
  10. Barna Flavia & Danuletiu Adina Elena & Mura Petru Ovidiu, 2009. "Role Of Information In Adoption Of Investment Decisions On Capital Market," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 474-479, May.
  11. repec:got:cegedp:76 is not listed on IDEAS
  12. Azar, Jose, 2009. "Electric Cars and Oil Prices," MPRA Paper 15538, University Library of Munich, Germany.
  13. repec:eme:mfipps:v:36:y:2010:i:3:p:508-529 is not listed on IDEAS
  14. Li, Wei & Wang, Steven Shuye, 2010. "Daily institutional trades and stock price volatility in a retail investor dominated emerging market," Journal of Financial Markets, Elsevier, vol. 13(4), pages 448-474, November.
  15. Pauline M. Shum & James E. Pesando, 1996. "Share Price Response to New Information with Short Horizon Investors the Case of Hong Kong," Working Papers 1997_02, York University, Department of Economics.
  16. A. Blundell-Wignall, . "The Relevance of Macroeconomic Policy in OECD Countries Creation Date: 1991," Economics Discussion / Working Papers 91-23, The University of Western Australia, Department of Economics.
  17. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns," Journal of Policy Modeling, Elsevier, vol. 20(5), pages 581-601, October.
  18. repec:hal:journl:halshs-00605908 is not listed on IDEAS
  19. Fernando Ferreira & Joseph Gyourko, 2011. "Anatomy of the Beginning of the Housing Boom: U.S. Neighborhoods and Metropolitan Areas, 1993-2009," NBER Working Papers 17374, National Bureau of Economic Research, Inc.
  20. Li, Mei & Qiu, Junfeng, 2013. "Speculative capital inflows, adaptive expectations, and the optimal renminbi appreciation policy," China Economic Review, Elsevier, vol. 25(C), pages 117-138.
  21. Berben, R-P. & van Dijk, D.J.C., 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Research Papers EI 9814, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  22. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
  23. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2000. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," NBER Working Papers 7524, National Bureau of Economic Research, Inc.
  24. repec:hal:wpaper:halshs-00586045 is not listed on IDEAS
  25. Vigfusson, R., 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," Working Papers 96-1, Bank of Canada.
  26. repec:cup:cbooks:9780521121101 is not listed on IDEAS
  27. Georgakopoulos, Nicholas L., 1996. "Why should disclosure rules subsidize informed traders?," International Review of Law and Economics, Elsevier, vol. 16(4), pages 417-431, December.
  28. Meng, Rujing & Wong, Kit Pong, 2010. "Multinationals and futures hedging: An optimal stopping approach," Global Finance Journal, Elsevier, vol. 21(1), pages 13-25.
  29. Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2004. "Coordination of Expectations in Asset Pricing Experiments," DNB Staff Reports (discontinued) 119, Netherlands Central Bank.
  30. Franke, Reiner & Sethi, Rajiv, 1998. "Cautious trend-seeking and complex asset price dynamics," Research in Economics, Elsevier, vol. 52(1), pages 61-79, March.
  31. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
  32. Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de, 2002. "Coordination of Expectations in Asset Pricing Experiments (Revised June 2003)," CeNDEF Working Papers 02-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  33. C. Lawrenz & F. Westerhoff, 2003. "Modeling Exchange Rate Behavior with a Genetic Algorithm," Computational Economics, Society for Computational Economics, vol. 21(3), pages 209-229, June.
  34. Westerhoff, Frank H., 2003. "Expectations driven distortions in the foreign exchange market," Journal of Economic Behavior & Organization, Elsevier, vol. 51(3), pages 389-412, July.
  35. Ghysels, Eric & Seon, Junghoon, 2005. "The Asian financial crisis: The role of derivative securities trading and foreign investors in Korea," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 607-630, June.
  36. Robert Edelstein & Wenlan Qian, 2014. "Short-Term Buyers and Housing Market Dynamics," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 654-689, November.
  37. Ng, Lilian & Wu, Fei, 2007. "The trading behavior of institutions and individuals in Chinese equity markets," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2695-2710, September.
  38. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  39. Alison Tarditi & Gordon Menzies, 1991. "Monthly Movements in the Australian Dollar and Real Short-term Interest Differentials: An Application of the Kalman Filter," RBA Research Discussion Papers rdp9111, Reserve Bank of Australia.
  40. Riddel, Mary, 1999. "Fundamentals, Feedback Trading, and Housing Market Speculation: Evidence from California," Journal of Housing Economics, Elsevier, vol. 8(4), pages 272-284, December.
  41. Michael Andersen & Robert Subbaraman, 1996. "Share Prices and Investment," RBA Research Discussion Papers rdp9610, Reserve Bank of Australia.
  42. Adrian Blundell-Wignall & Jerome Fahrer & Alexandra Heath, 1993. "Major Influences on the Australian Dollar Exchange Rate," RBA Annual Conference Volume, in: Adrian Blundell-Wignall (ed.), The Exchange Rate, International Trade and the Balance of Payments Reserve Bank of Australia.
  43. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
  44. Clarida, Richard & Taylor, Mark P, 1993. "The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors," CEPR Discussion Papers 773, C.E.P.R. Discussion Papers.
  45. S. Rao Aiyagari & Mark Gertler, 1999. ""Overreaction" of Asset Prices in General Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(1), pages 3-35, January.
  46. Peter Rowland & Hugo Oliveros, 2003. "Colombian Purchasing Power Parity Analysed Using A Framework of Multivariate Cointegration," BORRADORES DE ECONOMIA 002150, BANCO DE LA REPÚBLICA.
  47. Peter Rowland, . "Uncovered Interest Parity and the USD/COP Echange Rate," Borradores de Economia 227, Banco de la Republica de Colombia.
  48. Edward L. Glaeser, 2011. "Comment on "House Price Booms and the Current Account"," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 123-131 National Bureau of Economic Research, Inc.
  49. Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," Proceedings: 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  50. Christodoulakis, Nicos M. & Kalyvitis, Sarantis C., 1997. "Efficiency testing revisited: a foreign exchange market with Bayesian learning," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 367-385, June.
  51. Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1991. "Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading," NBER Working Papers 3846, National Bureau of Economic Research, Inc.
  52. Lillyn L. Teh & Werner F. M. de Bondt, 1997. "Herding Behavior and Stock Returns: An Exploratory Investigation," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 293-324, June.
  53. Karen Mills & Steve Morling & Warren Tease, 1993. "Balance Sheet Restructuring and Investment," RBA Research Discussion Papers rdp9308, Reserve Bank of Australia.
  54. Sias, Richard W. & Starks, Laura T., 1997. "Return autocorrelation and institutional investors," Journal of Financial Economics, Elsevier, vol. 46(1), pages 103-131, October.
  55. Frank Westerhoff & Claudia Lawrenz, 2000. "Explaining Exchange Rate Volatility With A Genetic Algorithm," Computing in Economics and Finance 2000 325, Society for Computational Economics.
  56. Gary Robinson, 1993. "The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange," Bank of England working papers 19, Bank of England.
  57. Kling, Gerhard & Gao, Lei, 2008. "Chinese institutional investors' sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 374-387, October.
  58. Christian Pierdzioch & Stefan Reitz & Jan-Christoph Ruelke, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," Kiel Working Papers 1947, Kiel Institute for the World Economy.
  59. Yuming Fu & Wenlan Qian & Bernard Yeung, 2013. "Speculative Investors and Tobin's Tax in the Housing Market," NBER Working Papers 19400, National Bureau of Economic Research, Inc.
  60. Antoniou, Antonios & Koutmos, Gregory & Pericli, Andreas, 2005. "Index futures and positive feedback trading: evidence from major stock exchanges," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 219-238, March.
  61. Milo, Melanie S., 1999. "Contagion Effects of the Asian Crisis, Policy Responses and Their Implications," Discussion Papers DP 1999-32, Philippine Institute for Development Studies.
  62. Eric Ghysels & Junghoon Seon, 2000. "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers 2000s-11, CIRANO.
  63. Palandri, Alessandro, 2014. "Risk-free rate effects on conditional variances and conditional correlations of stock returns," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 95-111.
  64. repec:got:cegedp:89 is not listed on IDEAS
  65. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
  66. Douglas Elmendorf & Mary Hirshfeld & David Weil, 1992. "The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920," NBER Working Papers 4234, National Bureau of Economic Research, Inc.
  67. Thomas Schuster, 2003. "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance 0307014, EconWPA.
  68. Danny Yagan, 2014. "Riding the Bubble? Chasing Returns into Illiquid Assets," NBER Working Papers 20360, National Bureau of Economic Research, Inc.
  69. Koutmos, Dimitrios & Song, Wei, 2014. "Speculative dynamics and price behavior in the Shanghai Stock Exchange," Research in International Business and Finance, Elsevier, vol. 31(C), pages 74-86.
  70. Hirshleifer, David & Teoh, Siew Hong, 2003. "Limited attention, information disclosure, and financial reporting," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 337-386, December.
  71. Peter Rowland, . "Forecasting the USD/COP Exchange Rate: A Random Walk a Variable Drift," Borradores de Economia 253, Banco de la Republica de Colombia.
  72. Anwar M. Shaikh, 1998. "The Stock Market and the Corporate Sector: A Profit-Based Approach," Macroeconomics 9811007, EconWPA.
  73. Giulio Cifarelli & Giovanna Paladino, 2009. "Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years," Working Papers - Economics wp2009_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  74. Peter Rowland & Hugo OLiveros C., . "Colombian Purchasing Power Parity Analysed Using a Framework of Multivariate Cointegration," Borradores de Economia 252, Banco de la Republica de Colombia.
  75. Markus Haberer, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature," CoFE Discussion Paper 04-06, Center of Finance and Econometrics, University of Konstanz.
  76. Michael KUEHL, . "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
  77. Twm Evans, 2006. "Efficiency tests of the UK financial futures markets and the impact of electronic trading systems," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1273-1283.
  78. Kühl, Michael, 2009. "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," Center for European, Governance and Economic Development Research Discussion Papers 89, University of Goettingen, Department of Economics.
  79. Baillie, Richard T. & Chang, Sanders S., 2011. "Carry trades, momentum trading and the forward premium anomaly," Journal of Financial Markets, Elsevier, vol. 14(3), pages 441-464, August.
  80. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia.
  81. Cifarelli, Giulio & Paladino, Giovanna, 2009. "Oil and portfolio risk diversification," MPRA Paper 28293, University Library of Munich, Germany, revised Nov 2010.
  82. Gunther Capelle-Blancard, 2010. "Are derivatives dangerous?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00605908, HAL.
  83. Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de, 2004. "Coordination of Expectations in Asset Pricing Experiments (Version March 2004)," CeNDEF Working Papers 04-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  84. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank, Research Department.
  85. Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
  86. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  87. Jim Clayton, 1998. "Further Evidence on Real Estate Market Efficiency," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 41-58.
  88. Clark, Andrew E. & Oswald, Andrew J., 1998. "Comparison-concave utility and following behaviour in social and economic settings," Journal of Public Economics, Elsevier, vol. 70(1), pages 133-155, October.
  89. Kaltenbrunner, Annina & Nissanke, Machiko, 2009. "The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  90. Antonios Antoniou & Gregory Koutmos & Gioia Pescetto, 2011. "Testing for Long Memory in the Feedback Mechanism in the Futures Markets," Review of Behavioral Finance, Emerald Group Publishing, vol. 3(2), pages 78-90, November.
  91. Guerdjikova, Ani, 2006. "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers 06-13, Cornell University, Center for Analytic Economics.
  92. Bühler, Wolfgang & Kempf, Alexander, 1994. "The value of the early unwind option in futures contracts with an endogenous basis," ZEW Discussion Papers 94-06, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
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