Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 37-42

資産價格泡沫與虛構的王國

作者：Robert Jarrow（Cornell University -Investment Management）

摘要：金融圈内的傳統觀點認為資産價格出現大幅度泡沫的情況非常罕見。然而作者在這篇文章中論證了資産價格泡沫是一種普遍存在的現象，并且大多數股票都存在相對于他們價值的1%至25%的小幅泡沫。泡沫的局部鞅性質為這種觀點提供了理論支持。作者最近的另一篇文章對包含資産價格泡沫的多因子資産定價模型進行了推導。在本文中，作者對上一篇文章進行了重新探讨并将其作為本文論點的另一理論支持。

Asset Price Bubbles and the Land of Oz

Robert Jarrow (Cornell University -Investment Management)

ABSTRACT

The conventional view in the professional finance community is that we live in a world with only rare asset price bubbles of immense magnitude. Instead, in this article the author argues that price bubbles are a common phenomenon, and that most stocks have small price bubbles representing perhaps 1% to 25% of their value. The theoretical underpinnings for this argument are based on the local martingale theory of bubbles and a recent article by the author where he derives a multiple-factor asset-pricing model with asset price bubbles. In this article, the author reviews the previous piece and uses it to support his assertion.

原文鍊接：http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.2.037

翻譯：陳爽