Who Drove and Burst the Tech Bubble?

• 成果类型: Article
• 署名作者: Griffin, John M.; Harris, Jeffrey H.; Shu, Tao; Topaloglu, Selim
• 署名单位: University of Texas System; University of Texas Austin; University of Delaware; University System of Georgia; University of Georgia; Queens University - Canada
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01663.x
• 发表日期: 2011
• 页码: 1251-1290
• 关键词: INTERNET STOCK-PRICES; institutional investors; investment strategies; Speculative bubbles; Market returns; demand curves; BEHAVIOR; performance; RISK; arbitrage

摘要

From 1997 to March 2000, as technology stocks rose more than five-fold, institutions bought more new technology supply than individuals. Among institutions, hedge funds were the most aggressive investors, but independent investment advisors and mutual funds (net of flows) actively invested the most capital in the technology sector. The technology stock reversal in March 2000 was accompanied by a broad sell-off from institutional investors but accelerated buying by individuals, particularly discount brokerage clients. Overall, our evidence supports the bubble model of Abreu and Brunnermeier (2003), in which rational arbitrageurs fail to trade against bubbles until a coordinated selling effort occurs.