论文部分内容阅读
关于投资者面临泡沫时的行为,学术界存在截然不同的三种观点:抛售、旁观和骑乘。本文构建了一个仅需基本信息的、适用于一般投资者的泡沫识别模型,以1996年5月至2010年12月的数据为样本识别泡沫,在此基础上分析泡沫期之后的崩溃风险,并测算投资于泡沫期之后的超额收益,探寻当期识别到泡沫与下一期标准化的超额收益之间的关系。结果表明,崩溃与泡沫没有必然联系,投资者面临具有极端收益的泡沫时的理性行为是骑乘泡沫。
There are three very different views about the behavior of investors in the face of bubbles: selling, watching and riding. This paper constructs a bubble recognition model for general investors that only needs basic information and uses the data from May 1996 to December 2010 as a sample to identify the bubbles and then analyzes the collapse risk after the bubble period. Calculate the excess returns after investing in the bubble period and explore the relationship between the current period’s identified bubbles and excess returns normalized in the next period. The result shows that there is no necessary link between the collapse and the bubble, and the rational behavior when investors face the bubble with extreme returns is the ride bubble.