| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059820 | Economics Letters | 2013 | 5 Pages |
Abstract
A restricted-perceptions equilibrium exists in which risk-averse agents believe stock prices follow a random walk with a conditional variance that is self-fulfilling. When agents estimate risk, bubbles and crashes arise. These effects are stronger when agents allow for ARCH in excess returns.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
William A. Branch, George W. Evans,