Advisors and asset prices: A model of the origins of bubbles

• 成果类型: Article
• 署名作者: Hong, Harrison; Scheinkman, Jose; Xiong, Wei
• 署名单位: Princeton University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.09.001
• 发表日期: 2008
• 页码: 268-287
• 关键词: analyst forecast; new technology bubble; reputation concern; heterogeneous beliefs

摘要

We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors are well-intentioned and want to maximize the welfare of their advisees (like a parent treats a child). But only some advisors understand the new technology (the tech-savvies): others do not and can only make a downward-biased recommendation (the old-fogies). While smart investors recognize the heterogeneity in advisors, naive ones mistakenly take whatever is said at face value. Tech-savvies innate their forecasts to signal that they are not old-fogies, since more accurate information about their type improves the welfare of investors in the future. A bubble arises for a wide range of parameters, and its size is maximized when there is a mix of smart and naive investors in the economy. Our model suggests an alternative Source for stock over-valuation in addition to investor overreaction to news and sell-side bias. (C) 2008 Elsevier B.V. All rights reserved.