ADAPTIVE EXPECTATIONS AND STOCK MARKET CRASHES*
构建理论模型，解释股市为何能在无基本面新闻时崩盘，且崩盘比狂热更常见。模型通过理性与幼稚投资者互动，幼稚者适应性预期波动率，崩盘成为自我实现的预言。
A theory is developed that explains how stocks can crash without fundamental news and why crashes are more common than frenzies. A crash occurs via the interaction of rational and naive investors. Naive traders believe that prices follow a random walk with serially correlated volatility. Their expectations of future volatility are formed adaptively. When the market crashes, naive traders sell stock in response to the apparent increase in volatility. Since rational traders are risk averse as well, a lower price is needed to clear the market: The crash is a self‐fulfilling prophecy. Frenzies cannot occur in this model.