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Testing for Asset Price Bubbles: An Alternative Approach

K. Hafsal & S. Raja Sethu Durai

Asian Economics Letters2025https://doi.org/10.46557/001c.124262article
ABDC C
Weight
0.37

What the paper says

This paper proposes an alternative way to identify the fundamental and non-fundamental components of an asset. The proposed method is mainly borrowed from Ball and Mankiw’s (1995) arguments on extracting core inflation. Unlike other methods, our approach utilizes cross-sectional returns by extracting the average minimum cross-sectional return distribution from the return series. This extracted series is considered the fundamental or core of the stock return. This proposed method is applied to DJIA and identifies that the stock price deviates from the fundamentals. Furthermore, our method accurately identified the Dotcom bubble and the 2007-08 financial crisis.

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https://doi.org/https://doi.org/10.46557/001c.124262

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@article{k.2025,
  title        = {{Testing for Asset Price Bubbles: An Alternative Approach}},
  author       = {K. Hafsal & S. Raja Sethu Durai},
  journal      = {Asian Economics Letters},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.46557/001c.124262},
}

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Testing for Asset Price Bubbles: An Alternative Approach

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.