Overconfidence and Speculative Bubbles
Overconfidence and Speculative Bubbles
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DOI：
10.2139/ssrn.298865
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发表时间：
2003-02
影响因子：
8.2
通讯作者：
J. Scheinkman;Wei Xiong-
中科院分区：
文献类型：
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作者：
J. Scheinkman;Wei Xiong-
受资产价格泡沫期间资产价格、交易量和价格波动行为的影响，我们提出了一个连续时间均衡模型，在该模型中，过度自信会导致代理人对资产基本面产生分歧。在卖空销售约束下，资产购买者获得了一个选择权，可以在其他代理人有更乐观的信念时将资产出售给这些代理人。正如Harrison和Kreps的一篇论文所述，代理人支付的价格超过了他们自己对未来股息的估值，因为他们相信未来他们会找到一个愿意支付更高价格的买家。这导致了资产价格中显著的泡沫成分，即使信念的微小差异足以产生交易。在均衡状态下，泡沫伴随着巨大的交易量和高价格波动。我们的分析表明，虽然托宾税可以在交易成本较低的情况下大幅减少投机交易，但它对泡沫规模或价格波动的影响有限。
Motivated by the behavior of asset prices, trading volume, and price volatility during episodes of asset price bubbles, we present a continuous‐time equilibrium model in which overconfidence generates disagreements among agents regarding asset fundamentals. With short‐sale constraints, an asset buyer acquires an option to sell the asset to other agents when those agents have more optimistic beliefs. As in a paper by Harrison and Kreps, agents pay prices that exceed their own valuation of future dividends because they believe that in the future they will find a buyer willing to pay even more. This causes a significant bubble component in asset prices even when small differences of beliefs are sufficient to generate a trade. In equilibrium, bubbles are accompanied by large trading volume and high price volatility. Our analysis shows that while Tobin’s tax can substantially reduce speculative trading when transaction costs are small, it has only a limited impact on the size of the bubble or on price volatility.