Defining, detecting and measuring asset price bubbles
by Charlie Woodman, Research Assistant, Cambridge Centre for Finance and Cambridge Endowment for Research in Finance One of the most frequently asked questions in the financial news media this year has been whether the stock market is in a 'bubble'?…
Over the horizon
University endowments use their long-term perspective to invest countercyclically at times of stock-market crisis, says new study at the Centre for Endowment Asset Management at Cambridge Judge Business School. While many retail investors may want to take a long-term perspective,…
Are cryptocurrencies priced in the cross-section? A portfolio approach
Dr Adelphe Ekponon Most papers, that study determinants of cryptocurrency prices, find no relation to existing market factors. In a work-in-progress, CCFin/CERF Research Associate Adelphe Ekponon and Kassi Assamoi (Liquidity Analyst at MUFG Securities and University of Warwick) examine a…
The Times: John Maynard Keynes’s art collection yields a stunning return
John Maynard Keynes made “extraordinary” returns as a collector of Picasso, Matisse and other modern masters, while highlighting the limitations of art price indexes, according to a study co-authored by Professor Elroy Dimson and Dr David Chambers. “For the art…
Art collector Keynes
Study based at Cambridge Judge Business School shows John Maynard Keynes made 'extraordinary' returns as a collector of Picasso, Matisse and other modern masters, while highlighting the limitations of art price indexes. © Reproduced by the kind permission of the…
Market gamblers to blame?
by Dr Mehrshad Motahari, Research Associate, Cambridge Centre for Finance and Cambridge Endowment for Research in Finance Dr Mehrshad Motahari The Nobel Prize–winning Cumulative Prospect Theory of Tversky and Kahneman (1992) has revolutionised our understanding of how humans make economic…
Long-term economic outlook and equity prices
by Dr Adelphe Ekponon, Research Associate, Cambridge Centre for Finance and Cambridge Endowment for Research in Finance Dr Adelphe Ekponon The very first asset pricing models (also called Capital Asset Pricing Models or CAPM) have postulated that the only risk…
The granular effect of stock market concentration on market portfolio volatility
Dr Jisok Kang, Research Associate, Cambridge Centre for Finance and Cambridge Endowment for Research in Finance Ever since the Capital Asset Pricing Model (CAPM) was first introduced in 1964, a well-accepted conception in the modern portfolio theory is that the…
