Asset Price Bubbles
本文综述资产价格泡沫的理论文献，重点研究鞅理论下的泡沫存在条件、泡沫资产衍生品定价及泡沫的实证识别方法，适用于无摩擦竞争经济的不同假设。
This article reviews the theoretical literature on asset price bubbles, with an emphasis on the martingale theory of bubbles. The key questions studied are as follows: First, under what conditions can asset price bubbles exist in an economy? Second, if bubbles exist, what are the implications for the pricing of derivatives on the bubble-laden asset? Third, if bubbles can exist, how can they be empirically determined? Answers are provided for three frictionless and competitive economies with increasingly restrictive structures. The least restrictive economy just assumes no arbitrage. The next satisfies no arbitrage and no dominance. The third assumes the existence of an equilibrium.