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- W2317381925 abstract "ABSTRACT We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross‐section comprising 10 OECD economies and a time span of at most 40 years, alternative binary chronologies of price bubble periods are determined. Using these chronologies as dependent processes and a set of macroeconomic and financial variables as explanatory variables, panel logit regressions are carried out. With model estimates at hand, both in‐sample and out‐of‐sample forecasts are made. The set of 13 potential predictors is classified in measures of macroeconomic or monetary performance, stock market characteristics and descriptors of capital valuation. The latter, in particular the price‐to‐book ratio, turn out to have strongest in‐sample and out‐of‐sample explanatory content for the emergence of price bubbles. Copyright © 2013 John Wiley & Sons, Ltd." @default.
- W2317381925 created "2016-06-24" @default.
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- W2317381925 date "2013-07-22" @default.
- W2317381925 modified "2023-10-16" @default.
- W2317381925 title "In-Sample and Out-of-Sample Prediction of stock Market Bubbles: Cross-Sectional Evidence" @default.
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- W2317381925 doi "https://doi.org/10.1002/for.2269" @default.
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