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摘要翻译：
本文对Johansen-Ledoit-Sornette(JLS)模型进行了扩展，引入了描述证券投资组合分散风险的Zipf因子。新模型保持了JLS模型中描述的泡沫的所有动态特征，提供了关于股票收益随时间集中的额外信息。这使得我们能够更好地理解风险分散和解释泡沫产生过程中投资者的行为。我们将这一新模型应用于2006年8月至2007年10月（泡沫1）和2008年10月至2009年8月（泡沫2）这两个著名的中国股票泡沫中。Zipf因子对泡沫1非常显著，这与上证指数的估值收益更集中在大型公司的事实相对应。中国媒体和论坛对80-20规则的广泛认可，可能导致许多投资者忽视了缺乏多样化的风险，从而增强了Zipf因子的作用。在泡沫2中，Zipf因素被发现与之相关，这表明市场收益对小企业的影响更大。我们将这一结果解释为中国经济对2008年金融危机后中国政府提供的大规模刺激做出反应的结果。
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英文标题：
《Role of Diversification Risk in Financial Bubbles》
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作者：
Wanfeng Yan, Ryan Woodard, Didier Sornette
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the "Zipf factor", which describes the diversification risk of the stock market portfolio. Keeping all the dynamical characteristics of a bubble described in the JLS model, the new model provides additional information about the concentration of stock gains over time. This allows us to understand better the risk diversification and to explain the investors' behavior during the bubble generation. We apply this new model to two famous Chinese stock bubbles, from August 2006 to October 2007 (bubble 1) and from October 2008 to August 2009 (bubble 2). The Zipf factor is found highly significant for bubble 1, corresponding to the fact that valuation gains were more concentrated on the large firms of the Shanghai index. It is likely that the widespread acknowledgement of the 80-20 rule in the Chinese media and discussion forums led many investors to discount the risk of a lack of diversification, therefore enhancing the role of the Zipf factor. For bubble 2, the Zipf factor is found marginally relevant, suggesting a larger weight of market gains on small firms. We interpret this result as the consequence of the response of the Chinese economy to the very large stimulus provided by the Chinese government in the aftermath of the 2008 financial crisis.
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PDF链接：
https://arxiv.org/pdf/1107.0838
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