Matches in SemOpenAlex for { <https://semopenalex.org/work/W658548351> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W658548351 endingPage "62" @default.
- W658548351 startingPage "45" @default.
- W658548351 abstract "The paper provides a theoretical insight into the possibility of a long lasting speculative trade in asset markets, driven purely by heterogeneous prior beliefs about the relevant dividend process. The analysis of speculative trade is undertaken by focusing on the behavior of market bubbles. A bubble is defined as the departure of an asset price from its fundamental value, which is defined as buy-and-hold forever valuation of the asset. I analyze bubbles in the context of a dynamic general equilibrium dynamic model with risk neutral agents having heterogeneous beliefs, and facing short selling constraints. In this risk neutral environment any trade must be driven by disagreement about the probability assessment to future events by the agents. This justifies the name speculative trade, and speculative bubble. I assume that the dividend process follows a hidden Markov chain and I allow for arbitrarily spread prior beliefs to account for the possibility of Bayesian learning. I use recursive techniques to characterize the equilibrium prices in such environments and to show that under certain conditions any disagreement among the agents might lead to the speculative bubbles. This leads to a natural question whether the bubble can be persistent if agents who start with heterogenous beliefs are allowed to learn. The celebrated Blackwell-Dubins theorem suggests that as long as agents are sufficiently agnostic in their priors learning asymptotically removes any disagreement, which would suggest the bubble would also be removed. On the other hand, Freedman`s theorem states that in infinitely complex non-parametric environments learning is a highly non-generic pattern. This means that to obtain rational justification for long lasting bubbles one need to increase complexity. I provide numerical examples to illustrate these issues. In particular I will show that mere moving from a Markov learning environment to the hidden Markov environment (without increasing the number of states) constitutes a significant increase in complexity, which is reflected in the time it takes for learning to remove the initial disagreement and the bubble." @default.
- W658548351 created "2016-06-24" @default.
- W658548351 creator A5076028201 @default.
- W658548351 date "2010-01-01" @default.
- W658548351 modified "2023-09-28" @default.
- W658548351 title "On the possibility of long lasting speculative bubbles in a learning environment" @default.
- W658548351 cites W2004294295 @default.
- W658548351 cites W2012679794 @default.
- W658548351 cites W2013953457 @default.
- W658548351 cites W2159754748 @default.
- W658548351 hasPublicationYear "2010" @default.
- W658548351 type Work @default.
- W658548351 sameAs 658548351 @default.
- W658548351 citedByCount "0" @default.
- W658548351 crossrefType "posted-content" @default.
- W658548351 hasAuthorship W658548351A5076028201 @default.
- W658548351 hasConcept C10138342 @default.
- W658548351 hasConcept C107673813 @default.
- W658548351 hasConcept C116168712 @default.
- W658548351 hasConcept C119857082 @default.
- W658548351 hasConcept C144237770 @default.
- W658548351 hasConcept C149782125 @default.
- W658548351 hasConcept C151730666 @default.
- W658548351 hasConcept C154945302 @default.
- W658548351 hasConcept C162324750 @default.
- W658548351 hasConcept C175444787 @default.
- W658548351 hasConcept C177605951 @default.
- W658548351 hasConcept C177769412 @default.
- W658548351 hasConcept C186027771 @default.
- W658548351 hasConcept C201543015 @default.
- W658548351 hasConcept C205649164 @default.
- W658548351 hasConcept C2779343474 @default.
- W658548351 hasConcept C38652104 @default.
- W658548351 hasConcept C41008148 @default.
- W658548351 hasConcept C556758197 @default.
- W658548351 hasConcept C76178495 @default.
- W658548351 hasConcept C86803240 @default.
- W658548351 hasConcept C97137747 @default.
- W658548351 hasConcept C98763669 @default.
- W658548351 hasConceptScore W658548351C10138342 @default.
- W658548351 hasConceptScore W658548351C107673813 @default.
- W658548351 hasConceptScore W658548351C116168712 @default.
- W658548351 hasConceptScore W658548351C119857082 @default.
- W658548351 hasConceptScore W658548351C144237770 @default.
- W658548351 hasConceptScore W658548351C149782125 @default.
- W658548351 hasConceptScore W658548351C151730666 @default.
- W658548351 hasConceptScore W658548351C154945302 @default.
- W658548351 hasConceptScore W658548351C162324750 @default.
- W658548351 hasConceptScore W658548351C175444787 @default.
- W658548351 hasConceptScore W658548351C177605951 @default.
- W658548351 hasConceptScore W658548351C177769412 @default.
- W658548351 hasConceptScore W658548351C186027771 @default.
- W658548351 hasConceptScore W658548351C201543015 @default.
- W658548351 hasConceptScore W658548351C205649164 @default.
- W658548351 hasConceptScore W658548351C2779343474 @default.
- W658548351 hasConceptScore W658548351C38652104 @default.
- W658548351 hasConceptScore W658548351C41008148 @default.
- W658548351 hasConceptScore W658548351C556758197 @default.
- W658548351 hasConceptScore W658548351C76178495 @default.
- W658548351 hasConceptScore W658548351C86803240 @default.
- W658548351 hasConceptScore W658548351C97137747 @default.
- W658548351 hasConceptScore W658548351C98763669 @default.
- W658548351 hasIssue "22" @default.
- W658548351 hasLocation W6585483511 @default.
- W658548351 hasOpenAccess W658548351 @default.
- W658548351 hasPrimaryLocation W6585483511 @default.
- W658548351 hasRelatedWork W1577099488 @default.
- W658548351 hasRelatedWork W1579506172 @default.
- W658548351 hasRelatedWork W1600629322 @default.
- W658548351 hasRelatedWork W1615231614 @default.
- W658548351 hasRelatedWork W2133638501 @default.
- W658548351 hasRelatedWork W2219619289 @default.
- W658548351 hasRelatedWork W2241552949 @default.
- W658548351 hasRelatedWork W2479038327 @default.
- W658548351 hasRelatedWork W2556274668 @default.
- W658548351 hasRelatedWork W2591216250 @default.
- W658548351 hasRelatedWork W2765553854 @default.
- W658548351 hasRelatedWork W3015014300 @default.
- W658548351 hasRelatedWork W3121829455 @default.
- W658548351 hasRelatedWork W3122366511 @default.
- W658548351 hasRelatedWork W3122483414 @default.
- W658548351 hasRelatedWork W3125544626 @default.
- W658548351 hasRelatedWork W3144161694 @default.
- W658548351 hasRelatedWork W3153219213 @default.
- W658548351 hasRelatedWork W2119038914 @default.
- W658548351 hasRelatedWork W2901096318 @default.
- W658548351 isParatext "false" @default.
- W658548351 isRetracted "false" @default.
- W658548351 magId "658548351" @default.
- W658548351 workType "article" @default.