Asset pricing with financial bubble risk

Asset pricing with financial bubble risk

This paper characterizes systematic risk stemming from the possible occurrence of price bubbles and measures the impact of this additional risk factor on asset prices. Historical stock market behavior and recent empirical experience have led economists and policy makers to acknowledge that price bub...

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Bibliographic Details
Main Authors: LEE, Ji Hyung, Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Asset pricing
Bubbles
Financial market anomalies
Log linear approximation
Mildly explosive time series
Present value model
Econometrics
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/1946
https://ink.library.smu.edu.sg/context/soe_research/article/2945/viewcontent/AssetPricingwithBubbles_JH45.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1946
https://ink.library.smu.edu.sg/context/soe_research/article/2945/viewcontent/AssetPricingwithBubbles_JH45.pdf

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