New evidence on the first financial bubble

• 成果类型: Article
• 署名作者: Frehen, Rik G. P.; Goetzrnann, William N.; Rouwenhorst, K. Geert
• 署名单位: Tilburg University; Yale University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.12.008
• 发表日期: 2013
• 页码: 585-607
• 关键词: Bubbles; INNOVATION; Clientele theory; Bubble riding; South Sea Bubble

摘要

The Mississippi Bubble, South Sea Bubble and the Dutch Windhandel of 1720 together represent the world's first global financial bubble. We hand-collect cross-sectional price data and investor account data from 1720 to test theories about market bubbles. Our tests suggest that innovation was a key driver of bubble expectations. We present evidence against the currently prevailing debt-for-equity conversion hypothesis and relate stock returns to innovations in Atlantic trade and insurance. We find evidence consistent with the innovation-driven bubble dynamics documented by Pastor and Veronesi (2009) for new economy stocks. Our evidence seems inconsistent with clientele-based theories that emphasize bubble-riding and short-sales restrictions. (C) 2013 Elsevier B.V. All rights reserved.