Asset price bubbles from heterogeneous beliefs about mean reversion rates
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DOI: 10.1007/s00780-010-0124-x
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Cited by:
- Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
- Carl Chen & Peter Lung & F. Wang, 2013. "Where are the sources of stock market mispricing and excess volatility?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 631-650, November.
- Seunghyun Lee & Hyungbin Park, 2020. "Conditions for bubbles to arise under heterogeneous beliefs," Papers 2012.13753, arXiv.org, revised Oct 2021.
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More about this item
Keywords
Asset price bubble; Heterogeneous beliefs; Minimal equilibrium price; 60H10; 91B50; G12; C73;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
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