Financial Market Bubbles and Crashes

Despite the thousands of articles and the millions of times that the word 'bubble' has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study 'bubble' and 'crash' conditions. This book presents a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory.

Part I. Background for Analysis: 1. Introduction; 2. Bubble stories; 3. Random walks; 4. Bubble theories; 5. Framework for investigation; Part II. Empirical Features and Results: 6. Bubble basics; 7. Bubble dynamics; 8. Money and credit features; 9. Behavioral risk features; 10. Crashes, panics, and chaos; 11. Financial asset bubble theory.

Harold L. Vogel was ranked as top entertainment industry analyst for ten years by Institutional Investor magazine and was the senior entertainment industry analyst at Merrill Lynch for seventeen years. A chartered financial analyst (C.F.A.), Mr Vogel served on the New York State Governor's Motion Picture and Television Advisory Board and as an adjunct professor of media economics at Columbia University's Graduate School of Business. He also taught a similar course in the University of Southern California's MFA (Peter Stark) film program. He frequently writes and speaks on investment topics related to entertainment and media, leisure, and travel and currently heads an independent investment and consulting firm in New York City. His venture capital activities are concentrated mostly in early-stage media and entertainment-related areas. Mr Vogel is the author of the seven editions of Entertainment Industry Economics and Travel Industry Economics, all published by Cambridge University Press.