Quiet bubbles

• 成果类型: Article
• 署名作者: Hong, Harrison; Sraer, David
• 署名单位: Princeton University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.07.002
• 发表日期: 2013
• 页码: 596-606
• 关键词: Bubbles; credit; asset prices; turnover

摘要

Motivated by the recent subprime mortgage crisis, we explore whether speculative bubble models of equity based on investor disagreement and short-sales constraints can also provide an explanation for the overvaluation of debt contracts. We find that this is unlikely. Equity bubbles are loud: price and volume go together as investors speculate on capital gains from reselling to more optimistic investors. But this resale option is limited for debt since its upside payoff is bounded. Debt bubbles then require an optimism bias among investors. But greater optimism leads to less speculative trading as investors view the debt as safe and having limited upside. Debt bubbles are hence quiet high price comes with low volume. We find the predicted price-volume relationship of credits over the 2003-2007 credit boom. (C) 2013 Elsevier B.V. All rights reserved.