Intrinsic bubbles and asset price volatility
Eckwert B, Drees B (1997)
Economic Theory 9(3): 499-510.
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Eckwert, BernhardUniBi
;
Drees, Burkhard
Abstract
Under what conditions is the price of a bubbly asset more (less) volatile than the asset's market fundamental? The answer depends on agents' attitudes towards risk. If higher current consumption makes agents more (less) risk averse in the future, then the bubbly asset price fluctuates less (more) than the fundamental. This result shows that the interaction between intrinsic bubbles and asset fundamentals critically depends on a feature of the utility function that does not appear in standard models with time-separable utility.
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Eckwert B, Drees B. Intrinsic bubbles and asset price volatility. Economic Theory. 1997;9(3):499-510.
Eckwert, B., & Drees, B. (1997). Intrinsic bubbles and asset price volatility. Economic Theory, 9(3), 499-510. doi:10.1007/s001990050138
Eckwert, B., and Drees, B. (1997). Intrinsic bubbles and asset price volatility. Economic Theory 9, 499-510.
Eckwert, B., & Drees, B., 1997. Intrinsic bubbles and asset price volatility. Economic Theory, 9(3), p 499-510.
B. Eckwert and B. Drees, “Intrinsic bubbles and asset price volatility”, Economic Theory, vol. 9, 1997, pp. 499-510.
Eckwert, B., Drees, B.: Intrinsic bubbles and asset price volatility. Economic Theory. 9, 499-510 (1997).
Eckwert, Bernhard, and Drees, Burkhard. “Intrinsic bubbles and asset price volatility”. Economic Theory 9.3 (1997): 499-510.
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