Shakeouts and market crashes
成果类型：
Article
署名作者：
Barbarino, Alessandro; Jovanovic, Boyan
署名单位：
New York University
刊物名称：
INTERNATIONAL ECONOMIC REVIEW
ISSN/ISSBN：
0020-6598
DOI：
10.1111/j.1468-2354.2007.00432.x
发表日期：
2007
页码：
385-420
关键词：
摘要：
This article provides a microfoundation for the rise in optimism that seems to precede market crashes. Small, young markets are more likely to experience stock-price run-ups and crashes. We use a Zeira-Rob type of model in which demand size is uncertain. Optimism then grows rationally if traders' prior distribution over market size has a decreasing hazard. Such prior beliefs are appropriate if most new markets are duds and only a few reach a large size. The crash occurs when capacity outstrips demand. As an illustration, for the period 1971-2001 we fit the model to the Telecom sector.
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