Andrei Shleifer - Faculty & Research - Harvard Business School
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Andrei Shleifer

Visiting Professor of Business Administration

Negotiation, Organizations & Markets

Journal Articles
  1. Bubbles for Fama

    Robin Greenwood, Andrei Shleifer and Yang You

    We evaluate Eugene Fama's claim that stock prices do not exhibit price bubbles. Based on U.S. industry returns 1926–2014 and international sector returns 1985–2014, we present four findings: (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash; (3) attributes of the price run-up, including volatility, turnover, issuance, and the price path of the run-up, can all help forecast an eventual crash and future returns; and (4) some of these characteristics can help investors earn superior returns by timing the bubble. Results hold similarly in U.S. and international samples.

    Keywords: Price Bubble; Stocks; Price; Forecasting and Prediction;


    Greenwood, Robin, Andrei Shleifer, and Yang You. "Bubbles for Fama." Journal of Financial Economics (forthcoming). (Revised October 2017. Internet Appendix Here.)  View Details
  2. Extrapolation and Bubbles

    Nicholas Barberis, Robin Greenwood, Lawrence Jin and Andrei Shleifer

    We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals: an average of the asset’s past price changes and the asset’s degree of overvaluation. The two signals are in conflict, and investors “waver” over time in the relative weight they put on them. The model predicts that good news about fundamentals can trigger large price bubbles. We analyze the patterns of cash-flow news that generate the largest bubbles, the reasons why bubbles collapse, and the frequency with which they occur. The model also predicts that bubbles will be accompanied by high trading volume and that volume increases with past asset returns. We present empirical evidence that bears on some of the model’s distinctive predictions.

    Keywords: bubble; extrapolation; volume; Price Bubble; Mathematical Methods;


    Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. "Extrapolation and Bubbles." Journal of Financial Economics 129, no. 2 (August 2018): 203–227.  View Details