haku: @author Summers, L. H. / yhteensä: 14
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| Tekijä: | Cutler, D. M. Poterba, J. M. Summers, L. H. |
| Otsikko: | Speculative dynamics. |
| Lehti: | Review of Economic Studies
1991 : MAY, VOL. 58:195, p. 529-546 |
| Asiasana: | FOREIGN EXCHANGE STOCK MARKETS RATE OF RETURN |
| Kieli: | eng |
| Tiivistelmä: | An evidence is presented on the characteristic speculative dynamics of returns on stocks, bonds, foreign exchange, real estate, collectibles, and precious metals. Four stylized facts are highlighted. First, returns tend to be positively serially correlated at high frequency. Second, they are weakly negatively serially correlated over long horizons. Third, deviations of asset values from proxies for fundamental value have predictive power for returns. Fourth, short term interest rates are negatively correlated with excess returns on other assets. The similarity of the results across markets suggests that they may be due to inherent features of the speculative process. |
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