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Uncertainty, Expectations and Asset Price Dynamics

Essays in Honor of Georges Prat

  • Book
  • © 2018

Overview

Editors:
  1. Fredj Jawadi

    1. Lille University, Lille Cedex, France

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  • Discusses irrational expectations
  • Evaluates expectation processes for asset price forecasts
  • Analyzes asset price fundamentals
  • Proposes new tests for bubbles

Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 24)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xxx
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  3. Heterogeneity of Beliefs and Information

    1. Front Matter

      Pages 51-51
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    2. Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

      • Saskia ter Ellen, Willem F. C. Verschoor
      Pages 53-79

    3. High Frequency Trading in the Equity Markets During US Treasury POMO

      • Cheng Gao, Bruce Mizrach
      Pages 81-103

  4. Transmission and Market Integration

    1. Front Matter

      Pages 105-105
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    2. Crude Oil and Biofuel Agricultural Commodity Prices

      • Semei Coronado, Omar Rojas, Rafael Romero-Meza, Apostolos Serletis, Leslie Verteramo Chiu
      Pages 107-123

    3. Financial Integration and Business Cycle Synchronization in Sub-Saharan Africa

      • Julien Acalin, Bruno Cabrillac, Gilles Dufrénot, Luc Jacolin, Samuel Diop
      Pages 125-146

  5. Fundamentals and Bubbles

    1. Front Matter

      Pages 147-147
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    2. Informational Efficiency and Endogenous Rational Bubbles

      • George A. Waters
      Pages 149-172

    3. Stock Market Bubble Migration: From Shanghai to Hong Kong

      • Eric Girardin, Roselyne Joyeux, Shuping Shi
      Pages 173-192
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Keywords

About this book

Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.


Editors and Affiliations

  • Lille University, Lille Cedex, France

    Fredj Jawadi

About the editor

Fredj Jawadi is a Full Professor of Finance at the University of Lille, France, and was an Associate Professor of Finance at the University of Evry-Paris Saclay from 2010 to 2018. Currently, he is an Associate Researcher at EconomiX-CNRS and Deputy Director for the Cliometrics and Complexity team (CAC) at the IXXI Complex Systems Institute, France as well as Fellow for the Society of Economic Measurement (US), Fellow at the Economic Research Forum (ERF) in Egypt and Charter Fellow at the Institute for Nonlinear Dynamical Inference (INDI) in Russia. He specializes in finance and applied econometrics. He is the author of several books and international journal papers.


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