Who Drove and Burst the Tech Bubble?

被引：144

作者：

Griffin, John M. ^{[1
]}

Harris, Jeffrey H. ^{[2
]}

Shu, Tao ^{[3
]}

Topaloglu, Selim ^{[4
]}

机构：

[1] Univ Texas Austin, Austin, TX 78712 USA

[2] Univ Delaware, Newark, DE 19716 USA

[3] Univ Georgia, Athens, GA 30602 USA

[4] Queens Univ, Kingston, ON K7L 3N6, Canada

来源：

JOURNAL OF FINANCE | 2011年 / 66卷 / 04期

关键词：

INTERNET STOCK-PRICES; INSTITUTIONAL INVESTORS; INVESTMENT STRATEGIES; SPECULATIVE BUBBLES; MARKET RETURNS; DEMAND CURVES; BEHAVIOR; PERFORMANCE; RISK; ARBITRAGE;

D O I：

10.1111/j.1540-6261.2011.01663.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

From 1997 to March 2000, as technology stocks rose more than five-fold, institutions bought more new technology supply than individuals. Among institutions, hedge funds were the most aggressive investors, but independent investment advisors and mutual funds (net of flows) actively invested the most capital in the technology sector. The technology stock reversal in March 2000 was accompanied by a broad sell-off from institutional investors but accelerated buying by individuals, particularly discount brokerage clients. Overall, our evidence supports the bubble model of Abreu and Brunnermeier (2003), in which rational arbitrageurs fail to trade against bubbles until a coordinated selling effort occurs.

引用

页码：1251 / 1290

页数：40

共 55 条

[1] Synchronization risk and delayed arbitrage [J].