Pitfalls in Testing for Explosive Bubbles in Asset Prices
Abstract
A number of studies (e.g., Robert J. Shiller, 1981; Olivier J. Blanchard and Mark Watson, 1982; Kenneth D. West, 1988) have argued that dividend and stock price data are not consistent with null null null hypothesis, in which prices are given by null present discounted values of expected dividends. These results have often been construed as evidence for null existence of bubbles or fads. (Related arguments have been made with respect to gold,...
Paper Details
Title
Pitfalls in Testing for Explosive Bubbles in Asset Prices
Published Date
Jan 1, 1991
Journal
Volume
81
Issue
4
Pages
922 - 930
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