Is Rational Speculation in the Presence of Positive Feedback Traders Destabilizing?

Arbeitspapier

DeLong (1990a) et al. show that in the presence of positive feedback traders rational speculation can be destabilizing, in that it drives the price of a risky asset above its expected value. A generalization of their seminal model with additional trading dates and an additional informative signal yields further interesting insights: it helps clarify when prices overreact, underreact, or even move in the wrong direction; when rational speculation is destabilizing or stabilizing; and whether overreaction is a symptom of market inefficiency or a manifestation of informational efficiency.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: BGPE Discussion Paper ; No. 119

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: market efficiency ; positive feedback trading ; Wertpapierspekulation ; Wertpapierhandel ; Rationales Verhalten ; Effizienzmarktthese ; Finanzmarktkrise

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Arnold, Lutz G. ; Brunner, Stephan
• Ereignis: Veröffentlichung
• (wer): Friedrich-Alexander-Universität Erlangen-Nürnberg, Bavarian Graduate Program in Economics (BGPE)
• (wo): Nürnberg
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/73400
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ