Bubbles for Fama》係近年股市泡沬研究嘅重要作品,Robin Greenwood、Andrei Shleifer及Yang You三位學者指研究嘅起點,係回應諾獎得主Eugene Fama對「泡沬」學術研究嘅疑問:

“For bubbles, I want a systematic way of identifying them. It’s a simple proposition. You have to be able to predict that there is some end to it. All the tests people have done trying to do that don’t work. Statistically, people have not come up with ways of identifying bubbles.”

三位學者就利用美股自1928年以來各行業分類指數嘅回報表現,黎測試股市回報可唔可以達到Fama對泡沬嘅要求。


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股市泡沬考| Medium版

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