A Bayesian's Bubble
利用宏观经济数据，识别了贝叶斯投资者在面临经济结构突变时的信念演化过程，并论证这种信念演化对1998-2001年美国股市的繁荣与崩盘有重要解释力，为理性投资者对未来的不确定性提供了泡沫的另一种解释。
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.”