Rational bubbles in portfolios with fundamental value

IF 0.7 4区 经济学 Q4 ECONOMICS
Lise Clain-Chamosset-Yvrard , Xavier Raurich , Thomas Seegmuller
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引用次数: 0

Abstract

In this paper, we provide a framework in which a stationary bubble can exist on a portfolio of dividend-yielding assets. Consistent with standard asset pricing theory, this portfolio bubble is defined as the difference between the portfolio market price and the present value of its future dividend stream. This bubble can coexist with a positive stationary fundamental value, without requiring the collapse of the latter over time. This result is obtained in an exchange overlapping generations economy featuring both newly issued and pre-existing financial assets that depreciate over time, and jointly constitute the asset portfolio. The introduction of new assets in each period decouples the return on bubbles from the effective discount rate applied to dividends. As a result, stationary equilibria can exist with both a positive bubble and a positive fundamental component in the portfolio value. Finally, our framework also allows us to discuss the role of the substitutability between financial assets on the level of bubbles and fundamental values.
具有基本价值的投资组合中的理性泡沫
在本文中,我们提供了一个框架,其中平稳泡沫可以存在于股息收益资产组合中。与标准资产定价理论一致,这种投资组合泡沫被定义为投资组合市场价格与其未来股息流现值之间的差额。这个泡沫可以与一个正的稳定的基本价值共存,而不需要后者随着时间的推移而崩溃。这一结果是在交换重叠代经济中获得的,其中新发行的金融资产和预先存在的金融资产随着时间的推移而贬值,并共同构成资产组合。每个时期新资产的引入将泡沫回报与股息的有效贴现率脱钩。因此,平稳均衡既可以存在正的泡沫,也可以存在正的基本成分。最后,我们的框架还允许我们讨论泡沫和基本价值水平上金融资产之间可替代性的作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Mathematical Social Sciences
Mathematical Social Sciences 数学-数学跨学科应用
CiteScore
1.30
自引率
0.00%
发文量
55
审稿时长
59 days
期刊介绍: The international, interdisciplinary journal Mathematical Social Sciences publishes original research articles, survey papers, short notes and book reviews. The journal emphasizes the unity of mathematical modelling in economics, psychology, political sciences, sociology and other social sciences. Topics of particular interest include the fundamental aspects of choice, information, and preferences (decision science) and of interaction (game theory and economic theory), the measurement of utility, welfare and inequality, the formal theories of justice and implementation, voting rules, cooperative games, fair division, cost allocation, bargaining, matching, social networks, and evolutionary and other dynamics models. Papers published by the journal are mathematically rigorous but no bounds, from above or from below, limits their technical level. All mathematical techniques may be used. The articles should be self-contained and readable by social scientists trained in mathematics.
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