Economics at your fingertips  

Speculative Dynamics of Prices and Volume

Anthony DeFusco, Charles G. Nathanson and Eric Zwick

No 23449, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We present a dynamic theory of prices and volume in asset bubbles. In our framework, predictable price increases endogenously attract short-term investors more strongly than long-term investors. Short-term investors amplify volume by selling more frequently, and they destabilize prices through positive feedback. Our model predicts a lead–lag relationship between volume and prices, which we confirm in the 2000–2011 US housing bubble. Using data on 50 million home sales from this episode, we document that much of the variation in volume arose from the rise and fall in short-term investment.

JEL-codes: E32 G02 G12 R3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-mac
Date: 2017-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
Working Paper: Speculative Dynamics of Prices and Volume (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

Page updated 2019-08-28
Handle: RePEc:nbr:nberwo:23449