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Bubbles and Crashes

Abreu, Dilip ; Brunnermeier, Markus K.

Econometrica, 2003-01, Vol.71 (1), p.173-204 [Periódico revisado por pares]

Boston, USA and Oxford, UK: Blackwell Publishers Ltd

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Título:
Bubbles and Crashes
Autor: Abreu, Dilip ; Brunnermeier, Markus K.
Assuntos: Applications ; Applied sciences ; Arbitrage ; behavioral finance ; bubbles ; Business orders ; crashes ; Econometrics ; Economic behaviour ; Economic bubbles ; Economic models ; Exact sciences and technology ; Financial crisis ; Financial speculation ; Fundamental value ; Information asymmetry ; Insurance, economics, finance ; limits to arbitrage ; Market ; Market equilibrium ; Market prices ; market timing ; Mathematics ; Nash equilibrium ; Operational research and scientific management ; Operational research. Management science ; overreaction ; Portfolio theory ; Probability and statistics ; Sciences and techniques of general use ; Securities markets ; Statistics ; Studies ; synchronization ; temporal coordination ; Time ; Transaction costs
É parte de: Econometrica, 2003-01, Vol.71 (1), p.173-204
Notas: ark:/67375/WNG-T0RDHPXF-H
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Descrição: We present a model in which an asset bubble can persist despite the presence of rational arbitrageurs. The resilience of the bubble stems from the inability of arbitrageurs to temporarily coordinate their selling strategies. This synchronization problem together with the individual incentive to time the market results in the persistence of bubbles over a substantial period. Since the derived trading equilibrium is unique, our model rationalizes the existence of bubbles in a strong sense. The model also provides a natural setting in which news events, by enabling synchronization, can have a disproportionate impact relative to their intrinsic informational content.
Editor: Boston, USA and Oxford, UK: Blackwell Publishers Ltd
Idioma: Inglês

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Bubbles and Crashes

Abreu, Dilip ; Brunnermeier, Markus K.

Boston, USA and Oxford, UK: Blackwell Publishers Ltd

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