Beyond Mechanical Markets: Asset Price Swings, Risk, and the Role of the State

By Roman Frydman; Michael D. Goldberg | Go to book overview
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Index
Page numbers for entries occurring in figures are suffixed by an f; those for entries in notes, by an n; and those for entries in tables, by a t.
Abreu, Dilip, 111–12, 113
Akerlof, George A., 3n, 30n, 34n, 121, 253
animal spirits, 34n, 121, 122, 124, 127, 253. See also psychology
arbitrage, limits to, 111–12
asset markets. See markets
asset prices: allocation of capital and, 149, 172–73; correlations in data, 195, 199; gap to historical benchmark levels of, 15–16, 100, 101f, 187–92, 207, 228, 232–33, 233f; nonroutine changes in processes driving, 199–205; Rational Expectations Hypothesis view of, 63–65, 94–95; relationship to intrinsic values, 87–88, 92–94, 96–97, 113; supposedly random fluctuations of, 86–89. See also Contingent Market Hypothesis; Efficient Market Hypothesis; equity prices
asset price swings: in behavioral bubble models, 109–10, 113–14, 121, 218–19; benchmark levels and, 96, 100–102, 113, 179–82, 189, 196; bubble model explanations of, 10, 31–32, 102, 242; economic effects of, 1–2; Efficient Market Hypothesis and, 31, 96–102; forecasting strategy revisions and, 165, 166–68, 171, 173–74, 185, 187; fully predetermined models of, 4–5, 195–98; fundamentals’ role in, 14, 120, 165, 168–69, 192–93; Imperfect Knowledge Economics models of, 6, 165–66, 195, 228, 254–56; irregular durations of, 171, 174, 179; limits to, 179–80, 189–90; momentum trading and, 143–47; as norm, 105; Rational Expectations models’ view of, 32–35, 103–4, 107–8; reflexive relationships with fundamentals, 15, 34, 175, 184–85, 186; reversals of, 173–74, 179–80, 184; risk and, 176; risk measurement and, 187–89, 244; role in market allocation of capital, 4–5, 14, 163, 177–79; upswing in 2000s, 9, 15, 31, 32–35, 117–19. See also guidance ranges
asset price swings, excessive: active measures to dampen, 237–43; capital misallocation and, 175, 176, 186–87, 219–20, 222; course of, 182–87; downswings, 187; financial crises triggered by, 5, 217, 219, 219n; forecasting strategy revisions and, 185, 187; fundamentals trends and, 192; government intervention to

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