Speculative Dynamics
展示了股票、债券、外汇、房地产、收藏品和贵金属回报的投机动态特征，总结出四个典型事实，包括高频正自相关、长期弱负自相关、价值偏离对回报的预测力以及短期利率与超额回报的负相关。
This paper presents evidence on the characteristic speculative dynamics of returns on stocks, bond, foreign exchange, real estate, collectibles, and precious metals. It highlights four stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, they are weakly negatively serially correlated over long horizons. Third, deviations of asset values from proxies for fundamental value have predictive power for returns. Fourth, short term interest rates are negatively correlated with excess returns on other assets. The similarity of the results across markets suggests that they may be due to inherent features of the speculative process.