A Bayesian's Bubble

• 成果类型: Article
• 署名作者: Li, C. Wei; Xue, Hui
• 署名单位: Louisiana State University System; Louisiana State University; Kansas State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01514.x
• 发表日期: 2009
• 页码: 2665-2701
• 关键词: information-technology; STOCK; media

摘要

The acceleration of the U.S. productivity growth in the late 1990s suggests a significant advance in technological innovation, making the perceived probability of entering a new economy ever increasing. Based on macroeconomic data, we identify a Bayesian investor's belief evolution when facing a possible structural break in the economy. We show that such belief evolution plays a significant role in explaining both the stock market boom and crash during 1998 to 2001. We conclude that a rational investor's uncertainty about the future of the U.S. economy provides an alternative explanation for the late 1990s stock market bubble..