{"created":"2021-03-01T07:13:28.124044+00:00","id":52156,"links":{},"metadata":{"_buckets":{"deposit":"a3dfa827-c7d1-4cfc-bbf1-b5bab83b229b"},"_deposit":{"id":"52156","owners":[],"pid":{"revision_id":0,"type":"depid","value":"52156"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00052156","sets":["62:7892","9:7435:7439"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2019-08","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"010","bibliographic_titles":[{"bibliographic_title":"Working Papers on Central Bank Communication"}]}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"A statistical method is proposed for detecting stock market bubbles that occur when speculative funds concentrate on a small set of stocks. The bubble is defined by stock price diverging from the fundamentals. A firm’s financial standing is certainly a key fundamental attribute of that firm. The law of one price would dictate that firms of similar financial standing share similar fundamentals. We investigate the variation in market capitalization normalized by fundamentals that is estimated by Lasso regression of a firm's financial standing. The market capitalization distribution has a substantially heavier upper tail during bubble periods, namely, the market capitalization gap opens up in a small subset of firms with similar fundamentals. This phenomenon suggests that speculative funds concentrate in this subset. We demonstrated that this phenomenon could have been used to detect the dot-com bubble of 1998-2000 in different stock exchanges.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Publisher's another name: JSPS Grants-in-Aid for Scientific Research (S) Central Bank Communication Design","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Research Project on Central Bank Communication"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.centralbank.e.u-tokyo.ac.jp/en/category/research-data/","subitem_relation_type_select":"URI"}}]},"item_8_select_14":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_select_item":"publisher"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"National Institute of Informatics"},{"subitem_text_value":"Graduate School of Information Science and Technology, The University of Tokyo"},{"subitem_text_value":"Graduate School of Economics, The University of Tokyo"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Mizuno, Takayuki"}],"nameIdentifiers":[{"nameIdentifier":"156073","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Ohnishi, Takaaki"}],"nameIdentifiers":[{"nameIdentifier":"156074","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Watanabe, Tsutomu"}],"nameIdentifiers":[{"nameIdentifier":"156075","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2019-09-03"}],"displaytype":"detail","filename":"cb-wp010.pdf","filesize":[{"value":"236.1 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"cb-wp010.pdf","url":"https://repository.dl.itc.u-tokyo.ac.jp/record/52156/files/cb-wp010.pdf"},"version_id":"244374cd-dcdb-4e60-afe0-cca090ebca2b"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Stock market","subitem_subject_scheme":"Other"},{"subitem_subject":"Financial bubble","subitem_subject_scheme":"Other"},{"subitem_subject":"Nowcast","subitem_subject_scheme":"Other"},{"subitem_subject":"Power law","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Detecting Stock Market Bubbles Based on the Cross-Sectional Dispersion of Stock Prices","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Detecting Stock Market Bubbles Based on the Cross-Sectional Dispersion of Stock Prices"}]},"item_type_id":"8","owner":"1","path":["7892","7439"],"pubdate":{"attribute_name":"公開日","attribute_value":"2019-09-03"},"publish_date":"2019-09-03","publish_status":"0","recid":"52156","relation_version_is_last":true,"title":["Detecting Stock Market Bubbles Based on the Cross-Sectional Dispersion of Stock Prices"],"weko_creator_id":"1","weko_shared_id":2},"updated":"2022-12-19T04:28:26.345973+00:00"}