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Effects of Reputation in Bubbles and Crashes
http://hdl.handle.net/2261/18438
http://hdl.handle.net/2261/184383931f22d-75f1-4f7d-bff1-2014c0cc3549
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Effects of Reputation in Bubbles and Crashes | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | JEL Classification : C72, C73, D84, G12, G14 | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Bubbles and Crashes | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Timing Games | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Soft-Landing | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Behavioral Finance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Reputation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Self-Control | |||||
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 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We analyze the stock market by modeling it as a timing game among arbitrageurs for beating the gun. We assume that (1) arbitrageurs are behavioral with a small probability, (2) the bubble soft-lands, and (3) the postcrash price increases as the X-day is postponed. Due to these assumptions, the effect of reputation assumes importance because any rational arbitrageur is willing to build a reputation in order to ride the bubble. It is demonstrated that the bubble persists for a long period as an outcome of a unique symmetric Nash equilibrium, even if all arbitrageurs are almost certainly rational. | |||||
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-560, 発行日 2008-04 |
|||||
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/2008/2008cf560ab.html |