Speculative Dynamics

@inproceedings{Cutler1990SpeculativeD,
  title={Speculative Dynamics},
  author={D. Cutler and J. Poterba and L. Summers},
  year={1990}
}
This paper presents evidence on the characteristic speculative dynamics of a wide range of asset returns. It highlights three stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, returns tend to be negatively serially correlated over long horizons. Third, deviations of asset values from proxies for fundamental value have predictive power for returns. These patterns emerge repeatedly in our analyses of stocks, bonds, foreign exchange, real estate… Expand
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