FUNDAMENTALS-DEPENDENT BUBBLES IN STOCK-PRICES
成果类型：
Article
署名作者：
IKEDA, S; SHIBATA, A
署名单位：
Osaka Metropolitan University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(92)90049-8
发表日期：
1992
页码：
143-168
关键词：
摘要：
In a continuous-time model of stock prices with dividends growing stochastically we examine bubbles which depend on market fundamentals. The fundamentals dependency stabilizes bubble dynamics. They can be stochastically stable, saddlepoint-stable, or unstable. Stock prices with these bubbles can be less volatile than fundamental prices. These bubbles exhibit various transition patterns, such as nonmonotonic movements and monotonic shrinkage in magnitude and volatility. The sign of their correlation with market fundamentals is time-varying. We introduce crash risks, permitting bubbles to crash partially and display various stochastic process switching. Crash risks affect the stochastic stability of bubbles.
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