G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w1990
来源IDWorking Paper 1990
On the Inception of Rational Bubbles in Stock Prices
Behzad T. Diba; Herschel I. Grossman
发表日期1986-07-01
出版年1986
语种英语
摘要This paper analyzes the theoretical possibility of rational
bubbles in stock prices in a model in which stockholders have
infinite planning horizons and in which free disposal of equity
rules out the existence of negative rational bubbles. The
analysis shows that in this framework if a positive rational
bubble exists, then it started on the first date of trading of
the stock. Thus, the existence of a rational bubble at any date
would imply that the stock has been overvalued relative to market
fundamentals since the first date of trading and that prior to
the first date of trading potential stockholders who anticipated
the initial pricing of the stock expected that the stock would be
overvalued relative to market fundamentals. The analysis also
shows that any rational bubble will eventually burst and will not
restart. Thus, even if a positive rational bubble exists,
stockholders know that after a random, but almost surely finite,
date the stock price will conform to market fundamentals forever.
主题Macroeconomics
URLhttps://www.nber.org/papers/w1990
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/559241
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Behzad T. Diba,Herschel I. Grossman. On the Inception of Rational Bubbles in Stock Prices. 1986.
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