Rational Pessimism, Rational Exuberance, and Asset Pricing Models
نویسندگان
چکیده
منابع مشابه
Rational Pessimism , Rational Exuberance , and Asset Pricing Models ∗
The paper estimates and examines the empirical plausibiltiy of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run risks model of Bansal and Yaron (2004), low frequency movements and time varying uncertainty in aggregate consumption growth are the key channels for und...
متن کاملNear-Rational Exuberance
We study how the use of judgement or “add-factors” in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We isolate conditions under which new phenomena, which we call exuberance equilibria, can exist in standard macroeconomic environments. Examples include a simple asset pricing model and the New Keynesian monetary policy framework....
متن کاملRational asset pricing bubbles and portfolio constraints
This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown that bubbles can lead to both multiplicity and real indeterminacy of equilibria. The general results are illustrated by two explicitly solved e...
متن کاملRational Asset Pricing Bubbles and Debt Constraints
Rational price bubble arises when the price of an asset exceeds the asset’s fundamental value, that is, the present value of future dividend payments. The important result of Santos and Woodford (1997) says that price bubbles cannot exist in equilibrium in the standard dynamic asset pricing model with rational agents facing borrowing constraints as long as assets are in strictly positive supply...
متن کاملRational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models
We study rational equilibrium asset-pricing bubbles in an economic environment in which agents are allowed to trade continuously, including as special cases some models from financial economics. For positive net supply assets, we present new necessary and sufficient conditions for the absence of bubbles in complete and incomplete markets equilibria with several types of borrowing constraints. F...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Studies
سال: 2007
ISSN: 0034-6527,1467-937X
DOI: 10.1111/j.1467-937x.2007.00454.x