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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Main Authors: | LEE, Ji Hyung, Peter C. B. PHILLIPS |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2016
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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 |
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