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- W4234586870 abstract "We introduce imperfect information in stock prices determination. Agents, whose expectations are not assumed to be rational, receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices are decomposed into a fundamental component and a transitory ‘noise bubble’ which can be responsible for boom and bust episodes unrelated to economic fundamentals. We propose a non‐standard VAR procedure to estimate the effects of noise shocks as well as bubble episodes. Noise explains a large fraction of US stock prices. In particular the dot‐com bubble is almost entirely explained by noise." @default.
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- W4234586870 date "2017-03-24" @default.
- W4234586870 modified "2023-10-11" @default.
- W4234586870 title "Noise Bubbles" @default.
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- W4234586870 doi "https://doi.org/10.1111/ecoj.12386" @default.
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