Who Drove and Burst the Tech Bubble?
研究了1997年至2000年科技股泡沫期间，机构投资者（尤其对冲基金）与个人投资者的买卖行为，发现机构推动泡沫上升，而个人在泡沫破裂时加速买入，支持理性套利者不交易直至协调卖出的泡沫模型。
ABSTRACT From 1997 to March 2000, as technology stocks rose more than five‐fold, institutions bought more new technology supply than individuals. Among institutions, hedge funds were the most aggressive investors, but independent investment advisors and mutual funds (net of flows) actively invested the most capital in the technology sector. The technology stock reversal in March 2000 was accompanied by a broad sell‐off from institutional investors but accelerated buying by individuals, particularly discount brokerage clients. Overall, our evidence supports the bubble model of Abreu and Brunnermeier (2003), in which rational arbitrageurs fail to trade against bubbles until a coordinated selling effort occurs.