Bubbles are defined in this paper as a temporary period of asset mispricing during which prices diverge from Rational Expectations Equilibrium (REE) for a period that is too long to be justified by random mispricing about a fixed mean rate of return. We solve for the market price of the risky...

We compare changes of mean and variance of returns as two regulations have changed between 1992 and 2007 in the Chinese exchanges of Shanghai and Shenzhen. Specifically, we compare the implementation of a ±10% daily return limit vs. the absence of any limit, and the effect of allowing local and...