A n a ly s is Bubbles , Crashes and Risk
نویسندگان
چکیده
In an asset-pricing model, risk-averse agents need to forecast the conditional variance of a stock’s return. A near-rational restricted perceptions equilibrium exists in which agents believe prices follow a random walk with a conditional variance that is self-fulfilling. When agents estimate risk in realtime, recurrent bubbles and crashes can arise. These effects are stronger when agents allow for ARCH in excess returns. JEL Classifications: G12; G14; D82; D83
منابع مشابه
Bubbles, Crashes and Risk
In an asset-pricing model, risk-averse agents need to forecast the conditional variance of a stock’s return. A near-rational restricted perceptions equilibrium exists in which agents believe prices follow a random walk with a conditional variance that is self-fulfilling. When agents estimate risk in real-time, recurrent bubbles and crashes can arise. These effect are stronger when agents allow ...
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