Back to Search
Start Over
A Bayesian's Bubble.
- Source :
- Journal of Finance (Wiley-Blackwell); Dec2009, Vol. 64 Issue 6, p2665-2701, 37p, 3 Charts, 6 Graphs
- Publication Year :
- 2009
-
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.” [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221082
- Volume :
- 64
- Issue :
- 6
- Database :
- Complementary Index
- Journal :
- Journal of Finance (Wiley-Blackwell)
- Publication Type :
- Academic Journal
- Accession number :
- 45470306
- Full Text :
- https://doi.org/10.1111/j.1540-6261.2009.01514.x