Bubbles in asset prices have fascinated researchers in finance. Identify asset bubbles, by circumstances, on the stock market has been a growing number of research theoretical and empirical. On a theoretical level, it was assumed that the price dynamics reflect irrational behavior of economic agents and, therefore, should be excluded from a deal with the truly rational economic agents Burmeiste...

bubbles in asset prices have fascinated researchers in finance. identify asset bubbles, by circumstances, on the stock market has been a growing number of research theoretical and empirical. on a theoretical level, it was assumed that the price dynamics reflect irrational behavior of economic agents and, therefore, should be excluded from a deal with the truly rational economic agents burmeiste...

Why are asset prices so much more volatile and so often detached from their fundamental values? Why does the bursting of …nancial bubbles depress the real economy? This paper addresses these questions by constructing an in…nite-horizon heterogeneous agent general equilibrium model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic valu...

The presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. In this paper, first, the formation of bubbles is tested using the new unit root test known as Phillips test (Generalized Sup ADF test) for 50 companies in the Tehran Stock Exchange...

The purpose of this study is to investigate and identify the periods of formation and bursting of speculative bubbles in Iran's capital market by creating a state space model and two-mode switching regime (mode 1 is bubble growth and burst stage and mode 2 is the time of bubble loss) during the period from April 2011 to March 2018. The Oxmetrics 7 software is used to investigate the existence o...

Ambiguous beliefs may lead to speculative trade and speculative bubbles. We demonstrate this by showing that the classical Harrison and Kreps (1978) example of speculative trade among agents with heterogeneous beliefs can be replicated with agents having common ambiguous beliefs. More precisely, we show that the same asset prices and pattern of trade can be obtained in equilibrium with agents’ ...

Motivated by the behavior of asset prices, trading volume and price volatility during historical episodes of asset price bubbles, we present a continuous time equilibrium model where overconfidence generates disagreements among agents regarding asset fundamentals. With short-sale constraints, an asset owner has an option to sell the asset to other overconfident agents when they have more optimi...