Asset price booms and busts, and expectations : theory and empirical evidence


Beutel, Johannes


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URL: https://ub-madoc.bib.uni-mannheim.de/42231
URN: urn:nbn:de:bsz:180-madoc-422310
Document Type: Doctoral dissertation
Year of publication: 2017
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Adam, Klaus
Date of oral examination: 16 May 2017
Publication language: English
Institution: Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
Subject: 330 Economics
Subject headings (SWD): Aktienkurs
Keywords (English): Busts
Abstract: This dissertation adds to the literature on asset price booms and busts in three self-contained chapters. The first chapter presents a novel explanation for the existence of stock price booms and busts, based on subjective expectations about future stock prices. This explanation is in line with survey evidence on the expectations of representative U.S. households and allows to match the behavior of postwar U.S. stock prices. The second chapter shows that, in the presence of belief-driven booms and busts, a financial transaction tax may lead to higher stock price volatility by increasing the likelihood of booms and busts. The third chapter analyzes the efficiency of investment professionals’ expectations and documents key differences to the expectations of representative households.

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Beutel, Johannes (2017) Asset price booms and busts, and expectations : theory and empirical evidence. Open Access Mannheim [Doctoral dissertation]
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