منابع مشابه
On Testing for Speculative Bubbles
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متن کاملOverconfidence and Speculative Bubbles∗
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...
متن کاملOn the maximum drawdown during speculative bubbles
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part o...
متن کاملAsset Float and Speculative Bubbles
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...
متن کاملSpeculative Bubbles and Financial Crisis
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: Journal of Economic Perspectives
سال: 1990
ISSN: 0895-3309
DOI: 10.1257/jep.4.2.85