Extrapolation and bubbles

• 成果类型: Article
• 署名作者: Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei
• 署名单位: Yale University; Harvard University; California Institute of Technology; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.04.007
• 发表日期: 2018
• 页码: 203-227
• 关键词: Bubble; Extrapolation; volume

摘要

We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals-an average of the asset's past price changes and the asset's degree of overvaluation-and waver over time in the relative weight they put on them. The model predicts that good news about fundamentals can trigger large price bubbles, that bubbles will be accompanied by high trading volume, and that volume increases with past asset returns. We present empirical evidence that bears on some of the model's distinctive predictions. (C) 2018 Elsevier B.V. All rights reserved.