The Ex Ante Likelihood of Bubbles

• 成果类型: Article
• 署名作者: Chinco, Alex
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4351
• 发表日期: 2023
• 页码: 1222-1244
• 关键词: Limits to arbitrage; Speculative bubbles; social interactions

摘要

The limits of arbitrage explain how a speculative bubble is sustained; they do not explain how likely one is to occur. To do that, you need a theory about the thing that sporadically causes arbitrageur constraints to bind. I propose a first such theory, which is based on social interactions between speculators. The theory says that bubbles should be more likely in assets where increases in past returns make excited-speculators relatively more persuasive to their peers. I empirically verify this ex ante prediction about bubble likelihoods and show that it is robust to some ex post disagreement about bubble definitions.