Formation of a speculative financial bubble
The problem of correct pricing. Asset pricing as one of the main problems of financial markets. The efficiency market hypothesis. Speculative bubble is a phenomenon in the financial market when the market price exceeds the fundamental value of an asset.
| Рубрика | Финансы, деньги и налоги |
| Вид | дипломная работа |
| Язык | английский |
| Дата добавления | 07.09.2018 |
| Размер файла | 816,7 K |
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6. Black, F., Noise. J. Finance, 1986, No 41, 529-544.
7. John R. Graham (Feb. 1999). HERDING AMONG INVESTMENT NEWSLETTERS: THEORY AND EVIDENCE. The Journal of Finance, Vol. 54, No. 1, pp. 237-268.
8. Joseph Zeira (Jan. 1998). INFORMATIONAL OVERSHOOTING, BOOMS AND CRASHES. Journal of Monetary Economics 43 (1999), pp. 237-257.
APPENDIX
1. Derivation of bubble component in the model of Abreu &Brunnermeier:
2. Variance of price index:
3. The gross profit will be the integral of expected profit from closing position before the bubble and closing after bubble:
,
where the probability of closing time is greater than exogenous bursting time and . First part of this equation is closing at after-crash price. Assume that price will be equal to fundamental value and this part will be equal to zero. The next part is a profit if arbitrageur has a time to close at pre-crash price which is generates an abnormal return. The equation above can be re-written as:
4. Expected profit of uninformed traders can be derived through the maximization of integral from exponential function with respect to :
5. Expected profit of informed agents:
6. The equilibrium information fee is a function
This looks like:
The solution of maximization problem for this function with respect to gives us an equilibrium share of informed agents. When we put the optimal share into the information fee equation we will take the equilibrium information fee .
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