A MODEL OF STOCK MARKET BUBBLE UNDER UNCERTAIN FUNDAMENTALS

J. Dean and T. Milovanov
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J. Dean: Economics Dept., Simon Fraser University, and College of Business and Economics, Western Washington University Bellingham, WA 98225-9170, USA
T. Milovanov: Department of Economics, University of Wisconsin-Madison, 1180 Observatory Dr., Madison, WI 53706, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 599-599

Abstract: A model for a stock market bubble is based upon the assumption that market agents incorporate trend and deviation of the actual price from the fundamental value into their expectations. Possible price dynamics are analyzed, and necessary conditions for large price deviations are obtained.

Keywords: Bubble; fundamentals; trend (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1142/S0219024900000711

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