Article Dans Une Revue Mathematical Social Sciences Année : 2025

Rational bubbles in portfolios with fundamental value

Résumé

In this paper, we provide a framework in which a stationary bubble can exist on a portfolio of dividend-yielding assets. Consistent with standard asset pricing theory, this portfolio bubble is defined as the difference between the portfolio market price and the present value of its future dividend stream. This bubble can coexist with a positive stationary fundamental value, without requiring the collapse of the latter over time. This result is obtained in an exchange overlapping generations economy featuring both newly issued and pre-existing financial assets that depreciate over time, and jointly constitute the asset portfolio. The introduction of new assets in each period decouples the return on bubbles from the effective discount rate applied to dividends. As a result, stationary equilibria can exist with both a positive bubble and a positive fundamental component in the portfolio value. Finally, our framework also allows us to discuss the role of the substitutability between financial assets on the level of bubbles and fundamental values.

Fichier sous embargo
Fichier sous embargo
0 6 12
Année Mois Jours
Avant la publication
mardi 1 décembre 2026
Fichier sous embargo
mardi 1 décembre 2026
Connectez-vous pour demander l'accès au fichier

Dates et versions

halshs-05283286 , version 1 (25-09-2025)

Licence

Identifiants

Citer

Lise Clain-Chamosset-Yvrard, Xavier Raurich, Thomas Seegmuller. Rational bubbles in portfolios with fundamental value. Mathematical Social Sciences, 2025, 138, pp.102464. ⟨10.1016/j.mathsocsci.2025.102464⟩. ⟨halshs-05283286⟩
2191 Consultations
27 Téléchargements

Altmetric

Partager

  • More