Asset pricing with financial bubble risk

• 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
• Institution: Singapore Management University

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...