Diagnostic bubbles

• 成果类型: Article
• 署名作者: Bordalo, Pedro; Gennaioli, Nicola; Kwon, Spencer Yongwook; Shleifer, Andrei
• 署名单位: University of Oxford; Bocconi University; Bocconi University; Harvard University; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.019
• 发表日期: 2021
• 页码: 1060-1077
• 关键词: Bubble; speculation; Diagnostic expectations

摘要

We introduce diagnostic expectations into a standard setting of price formation in which investors learn about the fundamental value of an asset and trade it. We study the interaction of diagnostic expectations with learning from prices and speculation (buying for resale). With diagnostic (but not with rational) expectations, these mechanisms lead to price paths exhibiting three phases: initial underreaction, then overshooting (the bubble), and finally a crash. With learning from prices, the model generates price extrapolation as a by-product of beliefs about fundamentals, lasting only as the bubble builds up. When investors speculate, even mild diagnostic distortions generate substantial bubbles. (c) 2020 Elsevier B.V. All rights reserved.