Stationary Bubbles

Empirical tests for bubbles typically focus on the stationarity properties of the dividend yield. Evidence of nonstationarity in the dividend yield is viewed as proof of bubbles, while stationarity is interpreted as absence of bubbles. For economies with arbitrary pricing kernels but stationary risk-free rates, I show that there exist bubbles that are strictly stationary. Such bubbles give rise to stationary dividend yields

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Year of publication:	2014
Authors:	Bidian, Florin
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Spekulationsblase \| Bubbles \| Zeitreihenanalyse \| Time series analysis \| Einheitswurzeltest \| Unit root test \| Börsenkurs \| Share price \| Stochastischer Prozess \| Stochastic process

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 5, 2014 erstellt
Other identifiers:	10.2139/ssrn.2391349 [DOI]
Classification:	G12 - Asset Pricing ; c58
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013059384