Günster, N.K.

bubble return portfolio model signal industry bubble signals performance factor month bubble signal investor table result market value stock momentum carhart report asset level difference carhart model period journal fama-french bubble portfolio strategy investment signi company p-value di fference month t signi ficantly price fference finance exposure eco-efficiency ratio fi ndings bubble detection system volatility number no-bubble portfolio fama-french model e ffect no-bubble asset pricing model crash high-ranked portfolio statistic 0.0001 low-ranked risk factor β ′ fs sample carhart models high-ranked misspeci fication table reports series increase signi ficant evidence pricing fication panel sentiment nding management best-in-clas study ficantly buy-side system asset pricing models transaction