| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21944 |
| 来源ID | Working Paper 21944 |
| Extrapolation and Bubbles | |
| Nicholas Barberis; Robin Greenwood; Lawrence Jin; Andrei Shleifer | |
| 发表日期 | 2016-02-01 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals—an average of the asset’s past price changes and the asset’s degree of overvaluation. The two signals are in conflict, and investors “waver” over time in the relative weight they put on them. The model predicts that good news about fundamentals can trigger large price bubbles. We analyze the patterns of cash-flow news that generate the largest bubbles, the reasons why bubbles collapse, and the frequency with which they occur. The model also predicts that bubbles will be accompanied by high trading volume, and that volume increases with past asset returns. We present empirical evidence that bears on some of the model’s distinctive predictions. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21944 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579618 |
| 推荐引用方式 GB/T 7714 | Nicholas Barberis,Robin Greenwood,Lawrence Jin,et al. Extrapolation and Bubbles. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w21944.pdf（386KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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