Asset price bubbles from heterogeneous beliefs about mean reversion rates
نویسندگان
چکیده
منابع مشابه
Asset price bubbles from heterogeneous beliefs about mean reversion rates
Harrison and Kreps showed in 1978 how the heterogeneity of investor beliefs can drive speculation, leading the price of an asset to exceed its intrinsic value. By focusing on an extremely simple market model – a finite-state Markov chain – the analysis of Harrison and Kreps achieved great clarity but limited realism. Here we achieve similar clarity with greater realism, by considering an asset ...
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T his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spi...
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The recent economic crisis highlights the role of financial markets in allowing economic agents, including prominent banks, to speculate on the future returns of different financial assets, such as mortgage-backed securities. This paper introduces a dynamic general equilibrium model with aggregate shocks, potentially incomplete markets and heterogeneous agents to investigate this role of financ...
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t his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in iran from 2002:03 to 2015:06. for this purpose, we have exploited sigma-point kalman filter (spkf) to extract the bubble component of assets prices in the aforementioned markets. then, in order to analyze the price bubbles spillover amon...
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This chapter reviews the quickly growing literature that builds on heterogeneous beliefs, a widely observed attribute of individuals, to explain bubbles, crises, and endogenous risk in financial markets. * This chapter is prepared for Handbook for Systemic Risk edited by Jean-Pierre Fouque and Joe Langsam. I thank Hersh Shefrin for helpful editorial suggestions.
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2010
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-010-0124-x