Bubbles, crashes and risk

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. •An as...

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Bibliographische Detailangaben

Veröffentlicht in:	Economics letters 2013-08, Vol.120 (2), p.254-258
Hauptverfasser:	Branch, William A., Evans, George W.
Format:	Artikel
Sprache:	eng
Schlagworte:	Adaptive learning Agency theory Asset pricing Bubbles economics Random walk theory Risk Risk aversion risk estimate Stock prices Studies variance
Online-Zugang:	Volltext
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