Trading frenzies and their impact on real investment

• 成果类型: Article
• 署名作者: Goldstein, Itay; Ozdenoren, Emre; Yuan, Kathy
• 署名单位: University of Pennsylvania; University of London; London Business School; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.03.011
• 发表日期: 2013
• 页码: 566-582
• 关键词: Trading frenzies; Feedback effect; Financial-market runs; Bear raids

摘要

We study a model in which a capital provider learns from the price of a firm's security in deciding how much capital to provide for new investment. This feedback effect from the financial market to the investment decision gives rise to trading frenzies, in which speculators all wish to trade like others, generating large pressure on prices. Coordination among speculators is sometimes desirable for price informativeness and investment efficiency, but speculators' incentives push in the opposite direction, so that they coordinate exactly when it is undesirable. We analyze the effect of various market parameters on the likelihood of trading frenzies to arise. Crown Copyright (C) 2013 Published by Elsevier B.V. All rights reserved.