Bubbles, Stock Returns, and Duration Dependence
从理性投机泡沫模型推导出泡沫会导致高收益序列呈现正向持续时间依赖，即高收益持续越久越难结束，并利用月度实际股票收益数据验证了这一现象。
A new testable implication is derived from the rational speculative bubbles model stating that the presence of bubbles implies positive duration dependence in runs of high returns. Specifically, the probability of observing an end to a run of high returns declines with the length of the run. Traditional duration dependence tests are adapted for use with discrete stock runs data and, consistent with the existence of bubbles, evidence of duration dependence in monthly real stock returns is found.