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:
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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