The Log-Linear Return Approximation, Bubbles, and Predictability
By Tom Engsted, Thomas Quistgaard Pedersen, Carsten Tanggaard. Journal of Financial and Quantitative Analysis, 2012
76 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/ca27dc36ea4726cf243ed86bc1a9153e4be6c5e1
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In Economics and Econometrics
- Adrienne Mack
- Alisa Yusupova
- Enrique Martínez-García
- Valerie Grossman
- I. Paya
- David Peel
- Efthymios Pavlidis
- Mark P. Taylor
In Finance
- Adrienne Mack
- Alisa Yusupova
- Enrique Martínez-García
- Valerie Grossman
- I. Paya
- David Peel
- Efthymios Pavlidis
- Mark P. Taylor
Citations in the corpus
- Explosive bubbles in house prices? Evidence from the OECD countries (2015, unknown): “However, Engsted et al. (2012) show that a rational bubble may make returns appear predictable even when expected returns (and thereby the discount factor) is constant.”
- Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2016, background): “(15) 9For a discussion of a more general solution with log-linear approximation methods see Engsted et al. (2012). 10The price-to-income ratio provides a metric of house prices relative to the ability of households to pay (see, e.g., Himmelberg et al. (2005); Girouard et al. (2006)) and, thus, it in”