Overconfidence and Speculative Bubbles 《过度自信和投机泡沫》

byJose´ A. Scheinkman and Wei Xiong

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 shortsale
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.