Add to ORKGThe recent introduction of new derivatives with future dividend payments as underlyings allows to construct a direct test of rational bubbles. We suggest a simple, new method to calculate the fundamental value of stock indices. Using this approach, bubbles become observable. We calculate the time series of the bubble component of the Euro-Stoxx 50 index and investigate its properties. Using a formal hypothesis test we find that the behavior of the bubble is compatible with rationality.speculative rational bubbles, martingale tests, fundamental value, dividend expectation
We detected rational bubbles in 22 emerging stockmarkets using both standard and threshold cointegra...
This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries ...
In this research we examine the ability of West's bubble test [1] in detecting speculative bubbles u...
This paper reports empirical tests for the existence of rational bubbles in stock prices. The analys...
A speculative bubble is usually defined as the difference between the market value of a security and...
This paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countries u...
The standard theory of asset pricing, in which a long-run relationship should exist between stock pr...
In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been n...
This paper employs a combination of unit root tests and fractional integration technique to test for...
The solution to a linear model in which supply and/or demand depends on rational expectations of fut...
The solution to a linear model in which supply and/or demand depends on rational expectations of fut...
This paper discusses the existence of a bubble in the pricing of an asset that pays positive dividen...
This paper proposes a theory of rational bubbles in an economy with finite trading opportunities. Bu...
The probabilistic structure of periodically collapsing bubbles creates a gap between future spot and...
A rational bubble would involve a self-confirming belief that an asset price depends on information ...
We detected rational bubbles in 22 emerging stockmarkets using both standard and threshold cointegra...
This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries ...
In this research we examine the ability of West's bubble test [1] in detecting speculative bubbles u...
This paper reports empirical tests for the existence of rational bubbles in stock prices. The analys...
A speculative bubble is usually defined as the difference between the market value of a security and...
This paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countries u...
The standard theory of asset pricing, in which a long-run relationship should exist between stock pr...
In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been n...
This paper employs a combination of unit root tests and fractional integration technique to test for...
The solution to a linear model in which supply and/or demand depends on rational expectations of fut...
The solution to a linear model in which supply and/or demand depends on rational expectations of fut...
This paper discusses the existence of a bubble in the pricing of an asset that pays positive dividen...
This paper proposes a theory of rational bubbles in an economy with finite trading opportunities. Bu...
The probabilistic structure of periodically collapsing bubbles creates a gap between future spot and...
A rational bubble would involve a self-confirming belief that an asset price depends on information ...
We detected rational bubbles in 22 emerging stockmarkets using both standard and threshold cointegra...
This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries ...
In this research we examine the ability of West's bubble test [1] in detecting speculative bubbles u...