Journal article
A Bayesian's Bubble
The Journal of finance (New York), Vol.64(6), pp.2665-2701
12/2009
DOI: 10.1111/j.1540-6261.2009.01514.x
Abstract
ABSTRACT
The acceleration of the U.S. productivity growth in the late 1990s suggests a significant advance in technological innovation, making the perceived probability of entering a “new economy” ever increasing. Based on macroeconomic data, we identify a Bayesian investor's belief evolution when facing a possible structural break in the economy. We show that such belief evolution plays a significant role in explaining both the stock market boom and crash during 1998 to 2001. We conclude that a rational investor's uncertainty about the future of the U.S. economy provides an alternative explanation for the late 1990s stock market “bubble.”
Details
- Title: Subtitle
- A Bayesian's Bubble
- Creators
- C Wei LiHui Xue
- Resource Type
- Journal article
- Publication Details
- The Journal of finance (New York), Vol.64(6), pp.2665-2701
- Publisher
- Blackwell Publishing Inc
- DOI
- 10.1111/j.1540-6261.2009.01514.x
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- Number of pages
- 37
- Language
- English
- Date published
- 12/2009
- Academic Unit
- Finance
- Record Identifier
- 9984380418702771
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