Chen, Lii-Tarn; Hueng, C. James; Lin, Chien-fu Jeff - In: Global Business and Economics Review 2 (2000) 2, pp. 159-171
This paper separates the validity of the specification of the fundamental stock price model from the implications of bubbles. The time-varying risk premium model (Poterba and Summers, 1986) is used to explicitly derive the misspecification component. We construct a state-space model and use...
