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Portfolio Constraints, Differences in Beliefs and Bubbles
Bidian, Florin - 2020
beliefs. I find that, in general, bubbles cannot exist unless the constraints restrict the demand for credit sufficiently to …I propose an arbitrage-based theory of bubbles in economies with general portfolio constraints and differences in … induce low interest rates. Speculation due to heterogeneous beliefs does not cause bubbles. Ruling out bubbles under …
Persistent link: https://www.econbiz.de/10012856797
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....
Persistent link: https://www.econbiz.de/10011490485
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Stock Price Booms and Expected Capital Gains
Adam, Klaus - 2015
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market troughs....
Persistent link: https://www.econbiz.de/10013018988
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Short-covering bubbles
Guimarães, Bernardo; Pannella, Pierluca - In: Journal of economic theory : JET 219 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015070970
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Bubbles and Crashes with Partially Sophisticated Investors
Bianchi, Milo; Jehiel, Philippe - 2011
We analyze bubbles and crashes in a model in which some investors are partially sophisticated. While the expectations … bubbles and crashes even in a purely speculative market in which information is complete and it is commonly understood that … whether bubbles may last longer when the share of fully rational traders increases …
Persistent link: https://www.econbiz.de/10014184822
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Behavioral heterogeneity in stock prices
Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005
We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...
Persistent link: https://www.econbiz.de/10011343265
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A Heterogenous Agent Foundation for Tests of Asset Price Bubbles
Arora, Vipin - 2013
We provide heterogenous agent foundations for regime-switching tests of asset price bubbles, and illustrate by applying …
Persistent link: https://www.econbiz.de/10013079949
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Speculation, Trading and Bubbles
Scheinkman, José Alexandre - 2013
Persistent link: https://www.econbiz.de/10013085819
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Unleashing animal spirits : self-control and overpricing in experimental asset markets
Kocher, Martin; Lucks, Konstantin E.; Schindler, David - 2016
One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...
Persistent link: https://www.econbiz.de/10011444434
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R - 2021
We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...
Persistent link: https://www.econbiz.de/10012705247