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- Title
A SPECIFICATION TEST FOR SPECULATIVE BUBBLES.
- Authors
West, Kenneth D.
- Abstract
The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When the test is applied to some annual U. S. stock market data, the data usually reject the null hypothesis of no bubbles. The test is of general interest, since it may be applied to a wide class of linear rational expectations models.
- Subjects
UNITED States; DIVIDENDS; STOCK exchanges; RATIONAL expectations (Economic theory); ECONOMIC forecasting
- Publication
Quarterly Journal of Economics, 1987, Vol 102, Issue 3, p553
- ISSN
0033-5533
- Publication type
Article
- DOI
10.2307/1884217