A Robust Model of Bubbles With Multidimensional Uncertainty
构建了一个理性泡沫模型，解释投资者为何在资产价格高估时仍选择持有，因为泡沫增长率和崩盘前卖出概率足够高，且经济中的噪声增加了这一概率。
Observers often interpret boom–bust episodes in asset markets as speculative frenzies where asymmetrically informed investors buy overvalued assets hoping to sell to a greater fool before the crash. Despite its intuitive appeal, however, this notion of speculative bubbles has proven difficult to reconcile with economic theory. Existing models have been criticized on the basis that they assume irrationality, that prices are somewhat unresponsive to sales, or that they depend on fragile, knife-edge restrictions. To address these issues, I construct a rational version of Abreu and Brunnermeier (2003), where agents invest growing endowments into an asset, fueling appreciation and eventual overvaluation. Riding bubbles is optimal as long as the growth rate of the bubble and the probability of selling before the crash are high enough. This probability increases with the amount of noise in the economy, as random short-term fluctuations make it difficult for agents to infer information from prices.