PT  - JOURNAL ARTICLE
AU  - Robert Jarrow
TI  - Asset Price Bubbles and the Land of Oz
AID  - 10.3905/jpm.2016.42.2.037
DP  - 2016 Jan 31
TA  - The Journal of Portfolio Management
PG  - 37--42
VI  - 42
IP  - 2
4099  - https://pm-research.com/content/42/2/37.short
4100  - https://pm-research.com/content/42/2/37.full
AB  - The conventional view in the professional finance community is that we live in a world with only rare asset price bubbles of immense magnitude. Instead, in this article the author argues that price bubbles are a common phenomenon, and that most stocks have small price bubbles representing perhaps 1% to 25% of their value. The theoretical underpinnings for this argument are based on the local martingale theory of bubbles and a recent article by the author where he derives a multiple-factor asset-pricing model with asset price bubbles. In this article, the author reviews the previous piece and uses it to support his assertion.TOPICS: Analysis of individual factors/risk premia, theory