Multi-Asset Bubbles Equilibrium Price Dynamics

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Tác giả: Francesco Cordoni

Ngôn ngữ: eng

Ký hiệu phân loại: 332.41 Value of money

Thông tin xuất bản: 2022

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Bộ sưu tập: Metadata

ID: 195332

The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based models, where agents are distinguished in terms of factor and investment trading strategies. In line with experimental results, we show that assets with a positive average dividend, i.e., with a strictly declining fundamental value, display at the equilibrium price the typical hump-shaped bubble observed in experimental asset markets. Moreover, a misvaluation effect is observed in the asset with a constant fundamental value, triggered by the other asset that displays the price bubble shape when a sharp price decline is exhibited at the end of the market.
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