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基于套利者提前获取股票价值低估等信息假设,在理性均衡分析框架下,探讨套利者导致泡沫的内在机制。主要结论是:在有噪声情况下,股票价格是套利者比例的增函数,当套利者达到一定比例后,股票价格将超过真实价值,套利者的“拥挤交易”导致价格出现明显泡沫;经验证据表明机构投资者的拥挤交易是蓝筹股泡沫产生的重要原因。
Based on the assumption that the arbitrageurs get the stock value underestimated ahead of time and so on, under the framework of rational equilibrium analysis, this paper explores the inner mechanism of the arbitrageurs leading to the bubbles. The main conclusion is that under the condition of noise, the stock price is an increasing function of the proportion of the arbitrageurs. When the arbitrageurs reach a certain proportion, the stock price will exceed the real value, and the arbitrager ’s "overcrowding Empirical evidence shows that crowding-in of institutional investors is a major cause of the blue-chip bubble.