{"title":"Let’s switch again! Testing for speculative oil price bubbles based on rotated market expectations","authors":"Robinson Kruse-Becher","doi":"10.1016/j.frl.2025.107116","DOIUrl":null,"url":null,"abstract":"<div><div>Econometric tests for bubbles suffer from mis-specified and mis-measured fundamentals. However, such tests can be carried out without using any unobservable fundamental, but relying on financial market expectations instead. We revisit the case of oil price bubbles and investigate the role of expectations. While we still find no evidence for speculative bubbles when using rotated expectations, striking differences arise regarding implied risk premia. Using raw market expectations leads to explosive risk premia which are implausible, both theoretically and empirically, while the opposite is found for rotated market expectations.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107116"},"PeriodicalIF":6.9000,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612325003794","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/3/7 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Econometric tests for bubbles suffer from mis-specified and mis-measured fundamentals. However, such tests can be carried out without using any unobservable fundamental, but relying on financial market expectations instead. We revisit the case of oil price bubbles and investigate the role of expectations. While we still find no evidence for speculative bubbles when using rotated expectations, striking differences arise regarding implied risk premia. Using raw market expectations leads to explosive risk premia which are implausible, both theoretically and empirically, while the opposite is found for rotated market expectations.
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