Rational equilibrium asset-pricing bubbles in continuous trading models
成果类型：
Article
署名作者：
Loewenstein, M; Willard, GA
署名单位：
Washington University (WUSTL); Massachusetts Institute of Technology (MIT)
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1999.2589
发表日期：
2000
页码：
17-58
关键词：
摘要：
We study rational equilibrium asset-pricing bubbles in an economic environment in which agents are allowed to trade continuously, including as special cases some models From financial economics. For positive net supply assets, we present new necessary and sufficient conditions For the absence of bubbles in complete and incomplete markets equilibria with several types of borrowing constraints. For zero net supply assets. including financial derivatives with finite maturities, we show that bubbles can generally exist and have properties different from their discrete-time, infinite-horizon counterparts. We introduce a probabilistic approach to studying bubbles, generalizing analogs of existing results in the discrete-time bubbles literature. Journal of Economic Literature Classification Numbers: D50, G12, G13. (C) 2000 Academic Press.