Review of Economic Studies Vol. 58 No. 3 1991

Speculative Dynamics

David Cutler¹; James M. Poterba^1,2; Lawrence H. Summers¹

¹ Harvard University · ² Moscow Institute of Thermal Technology

Abstract

This paper presents evidence on the characteristic speculative dynamics of returns on stocks, bond, foreign exchange, real estate, collectibles, and precious metals. It highlights four stylized facts. 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.

DOI

10.2307/2298010

Volume

58

Issue

3

Pages

529

Sources

crossref bibtex:phds-export.bib openalex

Cite

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