Rational Bubbles and the S&P 500. An empirical approach

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1 janvier 2021

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info:eu-repo/semantics/openAccess


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Bubble Estimation Kalman Filter Stochastic Discount Factor


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Óscar Martínez, « Rational Bubbles and the S&P 500. An empirical approach », Revista Latinoamericana de Desarrollo Económico, ID : 10670/1.nxx0xk


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We analyze if the dynamics of the S&P500 resemble those of a rational bubble. We find positive evidence in this question by applying the Kalman Filter to a suitable asset pricing model proposed and our conclusion is robust to three different stochastic discount factors SDFs considered: Linear Utility, Log Utility and CRRA utility. We also find evidence of a relationship between the type of SDF and the size of a bubble in the S&P500 case.

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