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1、OverconfidenceandSpeculativeBubbles∗Jos´eScheinkman†WeiXiong‡February2,2003AbstractMotivatedbythebehaviorofassetprices,tradingvolumeandpricevolatil-ityduringhistoricalepisodesofassetpricebubbles,wepresentacontinuoustimeequilibriummodelwhereoverconfidencegeneratesd
2、isagreementsamongagentsregardingassetfundamentals.Withshort-saleconstraints,anassetownerhasanoptiontoselltheassettootheroverconfidentagentswhentheyhavemoreoptimisticbeliefs.AsinHarrisonandKreps(1978),thisre-saleoptionhasarecursivestructure,thatis,abuyeroftheasset
3、getstheop-tiontoresellit.Thiscausesasignificantbubblecomponentinassetpricesevenwhensmalldifferencesofbeliefsaresufficienttogenerateatrade.Inparticular,largebubblesareaccompaniedbylargetradingvolumeandhighpricevolatility.Ourmodelhasanexplicitsolution,whichallowsforse
4、veralcomparativestaticsexercises.OuranalysisshowsthatwhileTobin’staxcansubstantiallyreducespeculativetradingwhentransactioncostsaresmall,ithasonlyalimitedimpactonthesizeofthebubbleoronpricevolatility.Wealsogiveanexamplewherethepriceofasubsidiaryislargerthanitspa
5、rentfirm.∗Thispaperwaspreviouslycirculatedunderthetitle”Overconfidence,Short-SaleConstraintsandBubbles.”Scheinkman’sresearchwassupportedbytheChaireBlaisePascalandtheNationalScienceFoundation.WewouldliketothankPatrickBolton,JohnCochrane,GeorgeConstantinides,DarrelD
6、uffie,RaviJagannathan,OwenLamont,MarceloPinheiro,ChrisRogers,TanoSantos,WalterSchachermayer,HaraldUhlig,DimitriVayanos,twoanonymousrefereesandseminarparticipantsatvariousinstitutionsandconferencesforcomments.†PrincetonUniversityandUniversit´eParis-Dauphine.E-mail:
7、joses@princeton.edu;Phone:(609)258-4020.‡PrincetonUniversity.E-mail:wxiong@princeton.edu;Phone:(609)258-0282.1IntroductionThebehaviorofmarketpricesandtradingvolumesofassetsduringhistoricalepisodesofpricebubblespresentsachallengetoassetpricingtheories.Acommonfeat
8、ureoftheseepisodes,includingtherecentinternetstockboom,thetulipmaniaandtheSouthSeabubble,istheco-existenceofhighpricesandhightradingvolume.1Inaddition,highpricevolati
