Asset bubble_(PartI)

1、 Asset Bubbles (Part I) Asset Bubbles (Part I)Yanmin QianZhejiang University2015The 90s BubbleNASDAQ: 1993 to 20032005-2008 China Stock Market Empirically, a bubble is a sequence of asset prices which are not justified by expectations of future dividends. This is usually measured ex post (事后估計） Ques

2、tion is: Did dividends turn out to be high enough to justify the past prices? If yes, then no bubble. If no, then there was a bubble.What is a bubble? Empirically, a bubble is a sequence of asset prices which are not justified by expectations of future dividends. Problem: not possible to distinguish

3、 ex ante（事前估計） whether expectations are not justified or wrong. Even ex post, it is not so clear. If the red dividend is realized ex post, were expectations wrong ex ante?No!What is a bubble? Theoretically, a bubble is also a sequence of asset prices which are not justified by the expectations on fu

4、ture dividends. Put another way, bubble components of asset prices are not related to the assets fundamental value. Theorist can more easily distinguish between justified and unjustified expectations, and hence between fundamental and bubble components of prices.What is a bubble?1. Rational Bubble -

5、Only rational agentsSymmetric Information Asymmetric Information2. Irrational Bubble -Some irrational behavioral agents -Limits to ArbitrageModels of Asset Bubbles1. Rational agents, Symmetric Info Asset- pricing Euler equation111(c)()ttttttupEpdu cg1tm Simplest case: Risk- neutral agents( )ttu cabc

6、( )tu cb1. Rational agents, Symmetric Info Asset- pricing Euler equation for risk- neutralagents:11ttttpEpd Solve forward:1122ttttpEpd1221ttttttpEEpdd22221ttttttEpE dE d1. Rational agents, Symmetric Info Keep solving forward1KKkttt Ktt kKpEpE dbubble termfundamental term Fundamental term is the disc

7、ounted sum of expected dividends. Bubble term is related to the assets price at the terminal date K1. Rational agents, Symmetric Info1KKkttt Ktt kKpEpE dbubble termfundamental termResult 1:No bubbles exist when agents are rational, information issymmetric and the horizon is finite. Why? Backward ind

8、uction: If there is a finite terminal date t+K for this asset, then this is the date at which the asset loses its value.0t Kp0tt kEp0Ktt kEp1. Rational agents, Symmetric Info1KKkttt Ktt kKpEpE dbubble termfundamental termWhat about an infinite horizon?1KKtKtt Ktt kkplimE PE dbubble termfundamental t

9、ermIn this setting, ruling out bubbles amounts tofinding conditions under which0KKtt KlimE PWhat about Risk-averse Agents?111(c)()ttttttupEpdu c1tmUse the equivalent martingale measure:*11111(c)( )ttttttttupEpdEpdu cand then proceed as in risk- neutral case.Now, bubbles are ruled out if:1tm*0KKtt Kl

10、imEP1. Rational Agents, Symmetric Info1. Rational Agents, Symmetric Info1. Rational Agents, Symmetric Info1. Rational Agents, Symmetric Info1. Rational Agents, Symmetric Info1. Rational Agents, Symmetric InfoIntuition: Assets fundamental value comes from the stream of dividends it pays me. Any bubbl

11、e component involves agents being willing to pay more for the asset than they can expect to receive in dividends. Bubbles reflect speculative behavior: I am willing to pay more than the fundamental value only if I believe that in the future, I can also sell for more than the fundamental value. Since

12、 I am discounting the future, the price needs to be growing, and to be growing at least as fast as I discount.Example: Rational BubbleExample: Rational BubblesExample: Rational BubblesIntuition:Intuition: I will be willing to pay more than the assets fundamental value, if there is some probability t

13、hat I can sell the asset again for more than the assets fundamental value.I am even willing to pay for a fundamentally worthless asset, if the probability of selling it again for an even higher price is high enough!Economic Argumentsto Rule out Bubbles1. Upper bound on the price. Oil Due to Campbell

14、, Lo, Mackinlay (1997): There is an upper bound on the price of oil, because there is a substitute solar energy in perfectly elastic supply. If oil became a certain amount more expensive than solar enough to compensate for installing solar panels everywhere, we would all switch to solar. One reason

15、that bubbles are a stock and housing market, not a commodity market phenomenon.Economic Argumentsto Rule out Rational Bubbles2. Limited liability no negative bubbles. Limited liability means that by holding the asset, you can never lose more than you paid. In other words, you cannot be held liable f

16、or the debt incurred by holding an asset. This prevents the existence of negative prices for assets. In order for a negative bubble to exist, there must be a negative expected price at some date in the future . Contradiction! Example: Stockholders of Swissair(瑞士航空), crash over Nova Scotia. Victims f

17、amilies could demand such huge settlements, that the net value of Swissair would become negative. The worst that can happen to shareholders is that their shares drop in value to zero shareholders cannot be forced to dig into own pockets to pay off victims families.Economic Argumentsto Rule out Ratio

18、nal Bubbles Economic Argumentsto Rule out Rational Bubbles4. Short sales Tirole (1982)The ability to sell an asset short creates an arbitrage opportunity in the presence of a bubble.Remember an asset with a bubble component has a price which is higher than its fundamental value.An infinitely-lived a

19、gent could short sell the overpriced asset for pt, and set aside enough to pay the dividend stream dt+1. The profit would be the size of the bubble term.By taking advantage of this arbitrage opportunity, arbitrageurs would place downward pressure on the bubbly assets price, until the value of the bu

20、bble component is down to zero.pt = lim K Et pt + K + k Et d t + k bubble termKfundamental termEconomic Explanations for Rational Bubbles Most Economic explanations for rational bubbles rely on Limits to Arbitrage. The existence of a bubble would create an arbitrage opportunity, but agents are preve

21、nted/blocked from taking advantage of it. Short sales constraints Presence of noise traders irrational agents Short horizons plus asymmetric informationGrowth Enterprise Market Bubble？(創(chuàng)業(yè)板泡沫）How to evaluate?PEG1998-2000年美國“科網(wǎng)泡沫”的最高峰期間NASDAQ估值，從PE水平來看，創(chuàng)業(yè)板目前的PE為100倍，處于歷史最高水平，不過還遠低于納斯達克在“科網(wǎng)泡沫”時最高194倍的水

22、平；從PB水平來看，創(chuàng)業(yè)板目前的動態(tài)PB為9.87倍，高于納斯達克在“科網(wǎng)泡沫”時最高8.9倍的水平。但另一方面，創(chuàng)業(yè)板相對主板的PB高達4.7倍，已是納斯達克在“科網(wǎng)泡沫”最高峰水平的兩倍還多。Exclude bigs: Apple, Google, Microsoft, Intel, Etc.Growth OpportunityAcquisition and Merge Earning GrowthSeven Bigs on NASDAQ : Market Value and P/E 如何看待創(chuàng)業(yè)板！人們對創(chuàng)業(yè)板的爭議從來沒有像現(xiàn)在這樣大。一方面，創(chuàng)業(yè)板指(3145)數(shù)不斷走高，實際上自2

23、012年底創(chuàng)業(yè)板見底585點以來，就一直保持著上升態(tài)勢，迄今已經(jīng)維持了30個月的升勢。特別是進入2015年，連續(xù)5個月上漲，年內(nèi)上升幅度超過50%，許多個股創(chuàng)造中國股市股價極值，超過每股400元，市盈率、市凈率高企。另一方面，一些投資者對創(chuàng)業(yè)板的大幅上漲詬病不斷，有股評人士說，從靜態(tài)股息率角度計算，現(xiàn)在買創(chuàng)業(yè)板需要6個世紀才能回本；也有人以納斯達克指數(shù)為例，認為納斯達克指數(shù)在2000年大幅下挫，網(wǎng)絡股崩盤時的市盈率就是100倍左右，這和創(chuàng)業(yè)板現(xiàn)實的市盈率相仿，因此創(chuàng)業(yè)板眼下的處境極其危險，勢如累卵。對這個問題，我們可以先從個股看。創(chuàng)業(yè)板在創(chuàng)設之初有過一輪凌厲的上升，監(jiān)管部門也常常對投資者購買創(chuàng)業(yè)板股