What is an Asset Price Bubble? An Operational Definition

@article{Siegel2003WhatIA,
  title={What is an Asset Price Bubble? An Operational Definition},
  author={Jeremy J. Siegel},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2003}
}
  • J. Siegel
  • Published 18 March 2003
  • Economics
  • Capital Markets: Asset Pricing & Valuation eJournal
This paper reviews and analyses the current definitions of bubbles in asset prices. It makes the case that one cannot identify a bubble immediately, but one has to wait a sufficient amount of time to determine whether the previous prices can be justified by subsequent cash flows. The paper proposes an operational definition of a bubble as any time the realised asset return over given future period is more than two standard deviations from its expected return. Using this framework, the paper… 
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