Journal of Financial and Quantitative Analysis Vol. 29 No. 3 1994
Bubbles, Stock Returns, and Duration Dependence
Abstract
A new testable implication is derived from the rational speculative bubbles model stating that the presence of bubbles implies positive duration dependence in runs of high returns. Specifically, the probability of observing an end to a run of high returns declines with the length of the run. Traditional duration dependence tests are adapted for use with discrete stock runs data and, consistent with the existence of bubbles, evidence of duration dependence in monthly real stock returns is found.
- DOI
- 10.2307/2331336
- Volume
- 29
- Issue
- 3
- Pages
- 379
- Sources
- openalex crossref