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Similar to other emerging economies, the Egyptian stock market has recently experienced a remarkable run-up but also a major downturn. This paper analyzes the stock market from two angles. First, it compares the performance of the major stock price index with its underlying fundamentals. Second, it explores the relationship between the Egyptian and other stock markets. The paper finds that (i) there is some evidence against a stable relationship between the Egyptian index and its fundamental value; and (ii) short-term correlations and long-term cointegrating relations provide conflicting signals on the value of Egyptian stocks as a means of diversification.

Finance: General --- Financial Risk Management --- Macroeconomics --- General Financial Markets: General (includes Measurement and Data) --- Price Level --- Inflation --- Deflation --- Financial Crises --- Finance --- Economic & financial crises & disasters --- Stock markets --- Asset prices --- Emerging and frontier financial markets --- Price indexes --- Asset bubbles --- Stock exchanges --- Prices --- Financial services industry --- Financial crises --- Egypt, Arab Republic of --- Investments

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This paper examines the determinants of residential property prices in Hong Kong SAR during 1980–98. It uses time-series analysis techniques to characterize price developments, establish empirical regularities, and provide measures of the deviations of actual price changes from “trend.” The analysis suggests that at the peak of the boom, in mid-1997, the level of property prices may have been 40–45 percent above levels suggested by developments in “fundamentals.” The analysis highlights the role of demand-side factors, and the data are not inconsistent with the notion that the property market may be subject to speculative bubbles.

Financial Risk Management --- Infrastructure --- Macroeconomics --- Real Estate --- Price Level --- Inflation --- Deflation --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Nonagricultural and Nonresidential Real Estate Markets --- Financial Crises --- Economic Development: Urban, Rural, Regional, and Transportation Analysis --- Housing --- Housing Supply and Markets --- Property & real estate --- Economic & financial crises & disasters --- Land prices --- Asset bubbles --- Housing prices --- Asset prices --- Prices --- Financial crises --- National accounts --- Saving and investment --- Hong Kong Special Administrative Region, People's Republic of China

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The recent housing bust has reignited interest in psychological theories of speculative excess (Shiller, 2007). I investigate this issue by identifying a segment of the U.S. population-evangelical protestants-that may be less prone to speculative motives, and uncover a significant negative relationship between their population share and house price volatility. Evangelicals' focus on Biblical prophecy could account for this difference, since it may enable them to interpret otherwise negative events as containing positive news, dampening the response of house prices to shocks. I provide evidence for this channel using a popular internet measure of "prophetic activity" and a 9/11 event study. I also analyze survey data covering religious beliefs and asset holding, and find that 'end times' beliefs are associated with a one-third decline in net worth, consistent with these beliefs providing a form of psychic insurance (Scheve and Stasavage, 2006a and 2006b) that reduces asset demand.

Business & Economics --- Real Estate, Housing & Land Use --- Housing --- Evangelicalism. --- Economics --- Prices --- Religious aspects --- Christianity. --- Christianity and economics --- Evangelical religion --- Protestantism, Evangelical --- Evangelical Revival --- Fundamentalism --- Pietism --- Protestantism --- Financial Risk Management --- Infrastructure --- Insurance --- Real Estate --- Demography --- Macroeconomics: Consumption --- Saving --- Wealth --- Urban, Rural, and Regional Economics: Housing Demand --- Cultural Economics: Religion --- Housing Supply and Markets --- Demographic Economics: General --- Economic Development: Urban, Rural, Regional, and Transportation Analysis --- Financial Crises --- Insurance Companies --- Actuarial Studies --- Property & real estate --- Population & demography --- Macroeconomics --- Economic & financial crises & disasters --- Insurance & actuarial studies --- Housing prices --- Population and demographics --- Asset bubbles --- National accounts --- Financial crises --- Financial institutions --- Population --- Saving and investment --- United States

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We analyze an overlapping generations economy with financial frictions and accumulation of both physical and intangible capital. The key difference between them is that intangible capital cannot be used as collateral for borrowing. As intangibles become more important in production, financial frictions tighten and equilibrium interest rates decline, creating the conditions for the emergence of rational bubbles. We also analyze the question of dynamic efficiency, demonstrating that, in the presence of financial frictions, neither the interest rate test nor the test proposed by Abel et al. (1989) are appropriate. Finally we show that, in general, rational bubbles are not Pareto improving in our framework.

Business cycles --- Intangible property --- Capital --- Assets (Accounting) --- Asset requirements --- Capital assets --- Fixed assets --- Economics --- Capitalism --- Infrastructure (Economics) --- Wealth --- Incorporeal property --- Intangible assets --- Intangibles --- Property --- Econometric models. --- Prices --- Law and legislation --- Financial Risk Management --- Investments: General --- Labor --- Macroeconomics --- Investment --- Intangible Capital --- Capacity --- Financial Markets and the Macroeconomy --- Economic Development: Financial Markets --- Saving and Capital Investment --- Corporate Finance and Governance --- Technological Change: Choices and Consequences --- Diffusion Processes --- Economic Growth and Aggregate Productivity: General --- Labor Demand --- Financial Crises --- Labor Economics: General --- Labour --- income economics --- Economic & financial crises & disasters --- Intangible capital --- Self-employment --- Capital accumulation --- Asset bubbles --- National accounts --- Financial crises --- Saving and investment --- Self-employed --- Labor economics --- United States

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Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard rational models, the new literature is able to model the common characteristics of historical bubble episodes and offer insights for how bubbles are initiated and sustained, the reasons they burst, and why arbitrage forces do not routinely step in to squash them. The latest U.S. real estate bubble is described in the context of this literature.

Financial crises. --- Arbitrage. --- Arbitrage --- Securities --- Speculation --- Crashes, Financial --- Crises, Financial --- Financial crashes --- Financial panics --- Panics (Finance) --- Stock exchange crashes --- Stock market panics --- Crises --- Law and legislation --- Financial crises --- E-books --- Financial Risk Management --- Inflation --- Macroeconomics --- Real Estate --- Investments: Stocks --- Financial Economics: General --- Financial Crises --- General Financial Markets: General (includes Measurement and Data) --- Price Level --- Deflation --- Housing Supply and Markets --- Real Estate Markets, Spatial Production Analysis, and Firm Location: General --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Economic & financial crises & disasters --- Property & real estate --- Investment & securities --- Asset bubbles --- Asset prices --- Housing prices --- Real estate prices --- Prices --- Stocks --- Financial institutions --- Housing --- United States