We estimate the dynamics of a speculative bubble subject to surviving and collapsing regime together with dividends returns in tractable state space specification present-value model. To this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler simulate from joint posterior distribution. find that real-world stock price bubbles show significant Markov-switching s...

Asset pricing formulas generated from representative agent models help in computing the fundamental values of assets that investors plan to hold forever. In contrast, in an economy with heterogeneous agents and active trading, stock prices will persistently deviate from the expected fundamental value even without introducing any explosive bubbles. Particularly, the introduction of heterogeneous...

We consider an evolution non-local free boundary problem that arises in the modelling of speculative bubbles. The solution of the model is the speculative component in the price of an asset. In the framework of viscosity solutions, we show the existence and uniqueness of the solution. We also show that the solution is convex in space, and establish several monotonicity properties of the solutio...

Prior studies have shown that traders quickly converge to the price-quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laborato...

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...

Abstract Most people consider financial bubbles as the result of speculations and manipulations, that less them will make a market economy more efficient. While speculative no doubt increase risks uncertainties investors, there are many episodes in human civilization where commensurate with real positive contribution to development an economy. This paper analyzes this issue from theoretical per...

This paper thoroughly integrates speculative bubbles to corporate finance literature by focusing on dividend policy issues. More specifically, we examine the importance of when testing for in S&P 500 equity index a data set spanning 1871 2014. Given phenomenon smoothing, particular U.S., question usefulness observed payments as fundamental factor bubbles. Circumventing construct hypothetical pa...

Abstract The new high-choice media environment has raised concerns that users of social networking sites primarily select political information supports their opinions and avoid challenges them. This behaviour is reinforced by personalisation algorithms create filter bubbles both narrow the available content exclude challenging over time. These have, however, been contested. article underlying ...

A trivariate vector autoregression time series process, based on a present-value land price model, is used to decompose Iowa farmland prices into fundamental and non-fundamental components. A recent study, by Falk and Lee (1998), found that non-fundamental shocks are an important source of volatility in farmland prices and it was interpreted that these price movements were due to fads not specu...