[발췌: D. Abreu & M.K. Brunnermeier's] Bubbles and Crashes (2003)

출처: Dilip Abreu and Markus K. Brunnermeier (2003). "Bubbles and Crashes," Econometrica, Vol. 71, No. 1 (Jan 2003).


※ 발췌 (excerpts) :

This paper argues that bubbles can persist even though all rational arbitrageurs know that the price it too high and they jointly have the ability to correct the mispricing. Though the bubble will ultimately burst, in the intermediate term, there can be a large and long-lasting departure from fundamental values. A central, and we believe, realistic, assumption of our model is that there is dispersion of opinion among rational arbitrageurs concerning the timing of the bubble. This assumption serves both as a general metaphor for differences of opinion, information and beliefs among traders, and, more literally, as a reduced-form modeling of the temporal expression of heterogeneities amongst traders. While it is well understood that appropriate departures from common knowledge will permit bubblles to persist, we believe that our particular formulation is both natural and parsimonious. The model provides a setting in which 'overreaction' and self-feeding price drops leading to full-fledged crashes will naturally arise. It also provides a framework that allows one to rationalize phenomena such as 'resistance lines' and fads in information gathering.