Bubbles, crashes and risk

被引：6
|
作者：
Branch, William A. [1 ]
Evans, George W. [2 ,3 ]
机构：
[1] Univ Calif Irvine, Irvine, CA USA
[2] Univ Oregon, Eugene, OR 97403 USA
[3] Univ St Andrews, St Andrews KY16 9AJ, Fife, Scotland
来源：
ECONOMICS LETTERS | 2013年 / 120卷 / 02期
基金：
美国国家科学基金会;
关键词：
Risk; Asset pricing; Bubbles; Adaptive learning; ASSET PRICING MODEL;
D O I：
10.1016/j.econlet.2013.04.030
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A restricted-perceptions equilibrium exists in which risk-averse agents believe stock prices follow a random walk with a conditional variance that is self-fulfilling. When agents estimate risk, bubbles and crashes arise. These effects are stronger when agents allow for ARCH in excess returns. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：254 / 258
页数：5
相关论文
共 50 条
  • [1] Bubbles and crashes
    Abreu, D
    Brunnermeier, MK
    [J]. ECONOMETRICA, 2003, 71 (01) : 173 - 204
  • [2] Bubbles and Market Crashes
    Youssefmir M.
    Huberman B.A.
    Hogg T.
    [J]. Computational Economics, 1998, 12 (2) : 97 - 114
  • [3] Coordinated bubbles and crashes
    Zheng, Huanhuan
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2020, 120
  • [4] Learning about Risk and Return: A Simple Model of Bubbles and Crashes
    Branch, William A.
    Evans, George W.
    [J]. AMERICAN ECONOMIC JOURNAL-MACROECONOMICS, 2011, 3 (03) : 159 - 191
  • [5] HERD BEHAVIOR, BUBBLES AND CRASHES
    LUX, T
    [J]. ECONOMIC JOURNAL, 1995, 105 (431): : 881 - 896
  • [6] Wealth redistribution in bubbles and crashes
    An, Li
    Lou, Dong
    Shi, Donghui
    [J]. JOURNAL OF MONETARY ECONOMICS, 2022, 126 : 134 - 153
  • [7] From rational bubbles to crashes
    Sornette, D
    Malevergne, Y
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2001, 299 (1-2) : 40 - 59
  • [8] Probabilistic forecasting of bubbles and flash crashes
    Banerjee, Anurag
    Chevillon, Guillaume
    Kratz, Marie
    [J]. ECONOMETRICS JOURNAL, 2020, 23 (02): : 297 - +
  • [9] Financial Market Bubbles and Crashes.
    Reitz, Stefan
    [J]. JAHRBUCHER FUR NATIONALOKONOMIE UND STATISTIK, 2011, 231 (01): : 173 - 174
  • [10] Bubbles and crashes: Hayek and Haberler revisited
    Bernard, H
    Bisignano, J
    [J]. ASSET PRICE BUBBLES: IMPLICATIONS FOR MONETARY AND REGULATORY POLICIES, 2001, 13 : 3 - 39
12345