کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084173 | 1477832 | 2009 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bubbles or convenience yields? A theoretical explanation with evidence from technology company equity carve-outs
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper offers an alternative explanation for what is typically referred to as an asset pricing bubble. We develop a model that formalizes the Cochrane (2002) convenience yield theory of technology company stocks to explain why a rational agent would buy an “overpriced” security. Agents have a desire to trade but short-sale restrictions and other frictions limit their trading strategies and enable prices of two similar securities to be different. Thus, divergent prices for similar securities can be sustained in a rational expectations equilibrium. The paper also provides empirical support for the model using a sample of 1996-2000 equity carve-outs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 18, Issue 2, March 2009, Pages 248-281
Journal: International Review of Economics & Finance - Volume 18, Issue 2, March 2009, Pages 248-281
نویسندگان
Vicki Bogan,