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Strategies & Market Trends : The Art of Investing -- Ignore unavailable to you. Want to Upgrade?

To: sense who wrote (1598)	3/23/2021 6:43:24 PM
From: Sun Tzu	Read Replies (1) \| Respond to of 10597

Bubbles for Fama* Robin Greenwood, Andrei Shleifer, and Yang You Harvard University Revised, February 2017 Abstract We evaluate Eugene 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; (3) attributes of the price run-up, including volatility, turnover, issuance, and the price path of the run-up can all help forecast an eventual crash and future returns; and (4) some of these characteristics can help investors earn superior returns by timing the bubble. Results hold similarly in US and international samples. Have fun reading: scholar.harvard.edu