Bubbles, crashes and risk
AbstractA restricted-perceptions equilibrium exists in which risk-averse agents believe stock prices follow a random walk with a conditional variance that is self-fulfilling. When agents estimate risk, bubbles and crashes arise. These effects are stronger when agents allow for ARCH in excess returns.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 120 (2013)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ecolet
Risk; Asset pricing; Bubbles; Adaptive learning;
Other versions of this item:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
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