Shall the winning last? A study of recent bubbles and persistence

•We document the potential presence of price bubbles in the analyzed markets.•24 of our 43 companies demonstrate complete absence of mean reversion, implying higher risk in the long run.•Some firms in the work-from-home, cryptocurrency and coronavirus-vaccine groups show mean reversion in higher qua...

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Bibliographic Details
Published in:Finance research letters 2022-03, Vol.45, p.102162, Article 102162
Main Authors: Jalan, Akanksha, Matkovskyy, Roman, Potì, Valerio
Format: Article
Language:English
Subjects:
Bubble
Coronaviruses
COVID19
General Finance
Persistence
Quantitative Finance
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Summary:•We document the potential presence of price bubbles in the analyzed markets.•24 of our 43 companies demonstrate complete absence of mean reversion, implying higher risk in the long run.•Some firms in the work-from-home, cryptocurrency and coronavirus-vaccine groups show mean reversion in higher quantiles.•All our stay-at-home companies demonstrate complete absence of mean reversion, making them potentially risky for long-term investment. In this study, we analyze stock market performance of 43 firms that show very large price rises in COVID-19 times for the period 21/11/2019 – 20/1/2021. These cover 6 industries - work-from-home companies, stay-at-home companies, Cryptocurrency companies, Bitcoin companies, Coronavirus Vaccine companies and Coronavirus therapeutics companies. Our results demonstrate the presence of bubbles and persistence patterns.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2021.102162