caa a22 4500 445363304 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110601xx s 000 0 eng 10.1007/s00780-010-0124-x doi (NATIONALLICENCE)springer-10.1007/s00780-010-0124-x Asset price bubbles from heterogeneous beliefs aboutmean reversion rates [Elektronische Daten] [Xi Chen, Robert Kohn] Harrison and Kreps showed in 1978 how the heterogeneity of investor beliefs can drive speculation, leading the price of an asset to exceed its intrinsic value. By focusing on an extremely simple market model—a finite-state Markov chain—the analysis of Harrison and Kreps achieved great clarity but limited realism. Here we achieve similar clarity with greater realism, by considering an asset whose dividend rate is a mean-reverting stochastic process. Our investors agree on the volatility, but have different beliefs about the mean reversion rate. We determine the minimum equilibrium price explicitly; in addition, we characterize it as the unique classical solution of a certain linear differential equation. Our example shows, in a simple and transparent manner, how heterogeneous beliefs about the mean reversion rate can lead to everlasting speculation and a permanent "price bubble.” Springer-Verlag, 2010 Asset price bubble nationallicence Heterogeneous beliefs nationallicence Minimal equilibrium price nationallicence Chen Xi Courant Institute of Mathematical Sciences, New York University, New York, USA aut Kohn Robert Courant Institute of Mathematical Sciences, New York University, New York, USA aut Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 221-241 0949-2984 15:2<221 2011 15 780 https://doi.org/10.1007/s00780-010-0124-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0124-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chen Xi Courant Institute of Mathematical Sciences, New York University, New York, USA aut NATIONALLICENCE 700 1- Kohn Robert Courant Institute of Mathematical Sciences, New York University, New York, USA aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 221-241 0949-2984 15:2<221 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer