讲座时间：2019年6月17日 下午03:00 - 04:30
We present a finite-horizon model of asset pricing with rational speculation and behavioral trading. Unlike the existing literature, our model brings together three key elements characteristic of the bitcoin, dot com, and housing bubbles: (i) time-varying risk based on market sentiment which may evolve into mass hysteria (manias), (ii) inherent difficulties of rational speculation to time the market, and (iii) relatively low volatility of the asset fundamental value. We study various properties of the equilibrium dynamics as well as changes in trading volume. The impact of new information on equilibrium values may be magnified by arbitrageurs’ preemptive motive to move away from the risky asset.
Prof. Sanots is the department chair of Economics at University of Miami Business School. He is also the James L. Knight Chair professor at University of Miami. His research focus on growth and development, economic computation and money, financial markets. His papers have been published in many of the top journals such as Econometrica, American Economic Review, Journal of Political Economy, Journal of Economic Theory, Journal of Monetary Economics, Annals of Applied Probability, etc.