Modeling speculative bubbles with diverse investor expectations
نویسندگان
چکیده
منابع مشابه
Modeling Speculative Bubbles with Diverse Investor Expectations∗
We construct a model of asset market exuberance, collapse and recovery using subjective investor-based rational expectations about the impact of fundamentals on the market price. Investors are assumed to have heterogeneous market sentiments, allowing them to be exuberant, cautious, or fundamentalist via boundary conditions that describe their respective views of the market impact of the same ec...
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Motivated by the behavior of asset prices, trading volume and price volatility during historical episodes of asset price bubbles, we present a continuous time equilibrium model where overconfidence generates disagreements among agents regarding asset fundamentals. With short-sale constraints, an asset owner has an option to sell the asset to other overconfident agents when they have more optimi...
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We model the relationship between asset float (tradeable shares) and speculative bubbles. Investors with heterogeneous beliefs and short-sales constraints trade a stock with limited float because of insider lockups. A bubble arises as price overweighs optimists’ beliefs and investors anticipate the option to resell to those with even higher valuations. The bubble’s size depends on float as inve...
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Why are asset prices so much more volatile and so often detached from their fundamental values? Why does the bursting of nancial bubbles depress the real economy? This paper addresses these questions by constructing an in nite-horizon heterogeneous agent general equilibrium model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic valu...
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ژورنال
عنوان ژورنال: Research in Economics
سال: 2016
ISSN: 1090-9443
DOI: 10.1016/j.rie.2016.01.002