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Internet Stocks (internet + stock)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Simple Trading Rules and the Market for Internet Stocks

INTERNATIONAL REVIEW OF FINANCE, Issue 4 2001
Wai Mun Fong
We investigate the profitability of moving average trading rules for Internet stocks based on the Dow Jones Internet Composite Index. Consistent with previous studies e.g. Brock et al. (1992), returns after buy signals exceed returns after sell signals. The average buy,sell spread is large and significant even after accounting for transaction costs. Bootstrap simulations based on a version of the dynamic CAPM show that the model is able to replicate the pattern of buy and sell returns. Simulated buy,sell spreads amount on average to more than 39% of the actual spread. However, actual profits are still too large to be explained in terms of risk compensation. [source]

Options and the Bubble

THE JOURNAL OF FINANCE, Issue 5 2006
ROBERT BATTALIO
ABSTRACT Many believe that a bubble existed in Internet stocks in the 1999 to 2000 period, and that short-sale restrictions prevented rational investors from driving Internet stock prices to reasonable levels. In the presence of such short-sale constraints, option and stock prices could decouple during a bubble. Using intraday options data from the peak of the Internet bubble, we find almost no evidence that synthetic stock prices diverged from actual stock prices. We also show that the general public could cheaply short synthetically using options. In summary, we find no evidence that short-sale restrictions affected Internet stock prices. [source]

What Is an Asset Price Bubble?

EUROPEAN FINANCIAL MANAGEMENT, Issue 1 2003
An Operational Definition
This paper reviews and analyses the current definitions of bubbles in asset prices. It makes the case that one cannot identify a bubble immediately, but one has to wait a sufficient amount of time to determine whether the previous prices can be justified by subsequent cash flows. The paper proposes an operational definition of a bubble as any time the realised asset return over given future period is more than two standard deviations from its expected return. Using this framework, the paper shows how the great crash of 1929 and 1987,both periods generally characterised as bubbles,prove not to be bubbles but the low point in stock prices in 1932 is a ,negative bubble.' The paper then extends this analysis to the internet stocks and concludes that it is virtually certain that it is a bubble. [source]