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Speculative Dynamics

Author

Listed:
  • CULTER, D.M.
  • POTERBA, J.M.
  • SUMMERS, L.H.
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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Culter, D.M. & Poterba, J.M. & Summers, L.H., 1990. "Speculative Dynamics," Working papers 544, Massachusetts Institute of Technology (MIT), Department of Economics.
    • Handle: RePEc:mit:worpap:544
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    Keywords

    financial market ; speculation ; bonds ; risk;
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