Asset price bubbles from heterogeneous beliefs about mean reversion rates

Keyphrases

• Mean Reversion 100%
• Heterogeneous Beliefs 100%
• Asset Price Bubbles 100%
• Kreps 66%
• Finite Markov Chain 33%
• Classical Solution 33%
• Volatility 33%
• Linear Differential Equations 33%
• Equilibrium Price 33%
• Mean-reverting Stochastic Processes 33%
• Market Model 33%
• Dividend Rate 33%
• Price Bubbles 33%
• Investor Beliefs 33%
• Intrinsic Value 33%

Mathematics

• Stochastic Process 100%
• State Markov Chain 100%
• Linear Differential Equation 100%
• Classical Solution 100%
• Equilibrium Price 100%
• Asset Price 100%

Economics, Econometrics and Finance

• Markov Chain 33%