Shakeouts and market crashes

被引：13

作者：

Barbarino, Alessandro ^{[1
]}

Jovanovic, Boyan ^{[1
]}

机构：

[1] NYU, Dept Econ, New York, NY 10012 USA

来源：

INTERNATIONAL ECONOMIC REVIEW | 2007年 / 48卷 / 02期

关键词：

D O I：

10.1111/j.1468-2354.2007.00432.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article provides a microfoundation for the rise in optimism that seems to precede market crashes. Small, young markets are more likely to experience stock-price run-ups and crashes. We use a Zeira-Rob type of model in which demand size is uncertain. Optimism then grows rationally if traders' prior distribution over market size has a decreasing hazard. Such prior beliefs are appropriate if most new markets are duds and only a few reach a large size. The crash occurs when capacity outstrips demand. As an illustration, for the period 1971-2001 we fit the model to the Telecom sector.

引用

页码：385 / 420

页数：36

共 25 条

[1]

ANGWIN J, 2002, WALL STREET J 0405, pB1

[2] Zipf distribution of US firm sizes [J].