The stock market bubble of 1929
NBER Working Paper No.
Standard tests find that no bubbles are present in the stock price data for the last one hundred years. While previous studies have restricted their attention to the joint behavior of stock prices and dividends over the course of a century, this paper uses the behavior of the premia demanded on loans collateralized by the purchase of stocks to evaluate the claim that the boom and crash of represented a bubble.
We develop a model that permits us to extract an estimate of the path of the bubble and its probability of bursting in any period and demonstrate that the premium behaves as would be expected in the presence of a bubble in stock prices. We also find that our estimate of the bubble's path has explanatory power when added to the standard cointegrating regressions of stock prices and dividends, in spite of the fact that our stock price and dividend series are cointegrated.
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Was there a bubble in the Stock Market?
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White NBER Working Paper No. ME Standard tests find that no bubbles are present in the stock price data for the last one hundred years. Mishkin and White w U. Stock Market Crashes and Their Aftermath: Implications for Monetary Policy McGrattan and Prescott w The Stock Market Crash of Irving Fisher Was Right! White w Anticipating the Stock Market Crash of The View from the Floor of the Stock Exchange DeLong and Shleifer w The Bubble of Evidence from Closed-End Funds White and Rappoport w The New York Stock Market in the s and s: Did Stock Prices Move Together Too Much?
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