Bubbles, fads, and the psychology of investors.

摘要

Research suggests that market prices may not always represent rational assessments of assets' fundamental values. Some researchers maintain that market-driven prices are reasonable and reflect investors' perception of an increased probability of high returns. Others contend that asset prices are often speculative and thus view these prices as evidence of irrational and inefficient pricing in key financial markets.; This dissertation draws from research on human behavior and decision-making under uncertainty to provide an empirical examination of the incidence and duration of speculative bubbles in financial markets. In this dissertation, I analyze characteristics of securities to determine whether bubbles form more readily in the prices of some securities than in the prices of others. Additionally, I analyze herd behavior by investors and test the hypothesis that herd behavior by investors is present during those periods when stock prices deviate from their fundamental values. I further explore investor herding by analyzing the relationship between institutional ownership of securities and trading volume, and by examining the link between investor overconfidence and herding.; I find evidence of skewness, kurtosis, and serial dependence in returns that is consistent with asset price bubbles. Additionally, the results suggest that there may be a size effect and an industry effect in the incidence of price bubbles. The results for tests of duration dependence are not consistent with rational speculative bubbles. However, a comparison of alternative duration dependence models suggests that duration dependence tests may not be appropriate as tests of speculative bubbles.; Decreased return dispersion during market downturns suggests that herding by investors may be a factor during periods of market stress. Additionally, the evidence suggests that investor herding is present during periods identified as having characteristics consistent with speculative bubbles. Results also indicate that investors herd on both positive and negative returns. An analysis of herd behavior by institutional investors suggests that higher trading volume is associated with greater levels of institutional ownership. Evidence of a positive relationship between changes in institutional ownership and measures of abnormal volume is consistent with investor overconfidence and herding.