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

资产价格泡沫与虚构的王国

作者：Robert Jarrow（Cornell University -Investment Management）

摘要：金融圈内的传统观点认为资产价格出现大幅度泡沫的情况非常罕见。然而作者在这篇文章中论证了资产价格泡沫是一种普遍存在的现象，并且大多数股票都存在相对于他们价值的1%至25%的小幅泡沫。泡沫的局部鞅性质为这种观点提供了理论支持。作者最近的另一篇文章对包含资产价格泡沫的多因子资产定价模型进行了推导。在本文中，作者对上一篇文章进行了重新探讨并将其作为本文论点的另一理论支持。

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.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.2.037

翻译：陈爽