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Asset Price Bubbles

In: Continuous-Time Asset Pricing Theory

Author

Listed:
  • Robert A. Jarrow

    (Cornell University)

Abstract

An important recent development in the asset pricing literature is an understanding of asset price bubbles. This chapter discusses these new insights. They are motivated by the first and third fundamental theorems which show that NFLVR only implies the existence of a local martingale measure and not a martingale measure. Asset price bubbles clarify the economic meaning of this difference. The material in this chapter is based on the papers by Jarrow, Protter, and Shimbo.

Suggested Citation

  • Robert A. Jarrow, 2021. "Asset Price Bubbles," Springer Finance, in: Continuous-Time Asset Pricing Theory, edition 2, chapter 0, pages 75-90, Springer.
    • Handle: RePEc:spr:sprfcp:978-3-030-74410-6_3
    DOI: 10.1007/978-3-030-74410-6_3
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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