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Role of Leverage in Bubbles and Crashes
http://hdl.handle.net/2261/52158
http://hdl.handle.net/2261/52158005d8d5c-d4ff-4302-913e-3364c5c5d47b
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Role of Leverage in Bubbles and Crashes | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Harmful Bubbles | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Leverage | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Share Issuance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Timing Games | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Behavioral Arbitrageurs | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification Numbers: C720, C730, D820, G140. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Matsushima, Hitoshi
× Matsushima, Hitoshi |
|||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Department of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper investigates the possibility that an unproductive company with limited debt capacity raises huge funds through share issuances by utilizing a small sign of enthusiasm. We generalize the timing game of Matsushima (2012) by permitting arbitrageurs to use high leverage for purchasing the shares. Thanks to this leverage, any arbitrageur has strong incentive to ride the bubble by continuing to purchase them, instead of timing the market quickly. We show that the harmful bubble persists for a long time as the unique Nash equilibrium. Importantly, this result holds even if the underlying positive feedback traders are not very enthusiastic. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-859, 発行日 2012-09 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf859ab.html | |||||
置換する | ||||||
関連タイプ | replaces | |||||
識別子タイプ | URI | |||||
関連識別子 | http://hdl.handle.net/2261/37282 |