dc.contributor.author |
Branch, William A. |
|
dc.contributor.author |
Evans, George W., 1949- |
|
dc.date.accessioned |
2008-03-20T16:40:42Z |
|
dc.date.available |
2008-03-20T16:40:42Z |
|
dc.date.issued |
2008-01-31 |
|
dc.identifier.uri |
http://hdl.handle.net/1794/5776 |
|
dc.description |
42 p. |
en |
dc.description.abstract |
This paper demonstrates that an asset pricing model with least-squares
learning can lead to bubbles and crashes as endogenous responses to the fundamentals
driving asset prices. When agents are risk-averse they generate forecasts
of the conditional variance of a stock’s return. Recursive updating of
the conditional variance and expected return implies two mechanisms through
which learning impacts stock prices: occasional shocks may lead agents to lower
their risk estimate and increase their expected return, thereby triggering a bubble;
along a bubble path recursive estimates of risk will increase and crash the
bubble. |
en |
dc.format.extent |
3742112 bytes |
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dc.format.mimetype |
application/pdf |
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dc.language.iso |
en_US |
en |
dc.publisher |
University of Oregon, Dept of Economics |
en |
dc.relation.ispartofseries |
University of Oregon Economics Department Working Papers ; 2008-1 |
en |
dc.subject |
Risk |
en |
dc.subject |
Asset pricing |
en |
dc.subject |
Bubbles |
en |
dc.subject |
Adaptive learning |
en |
dc.subject |
Stocks -- Prices |
en |
dc.title |
Learning about Risk and Return: A Simple Model of Bubbles and Crashes |
en |
dc.type |
Working Paper |
en |