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首页> 外文期刊>Journal of financial economics >Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns
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Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns

机译：价格崩溃的可能性，合理的投机泡沫和股票收益的横截面

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摘要

We estimate an ex ante probability of extreme negative returns (crashes) of individual stocks as a measure of potential overpricing and find that stocks with a high probability of crashes earn abnormally low returns. Stocks with high crash probability are overpriced regardless of the level of institutional ownership or variations in investor sentiment, and moreover, they exhibit increasing institutional demand until their prices reach the peak of overvaluation. We also find that institutional investors who overweight high crash probability stocks outperform the others, indicating that they have skill in timing bubbles and crashes of individual stocks. Our findings imply that sophisticated investors may not always trade against mispricing but time the correction of overpricing, and suggest that the crash effect we find could arise at least partially from rational speculative bubbles, not entirely from sentiment-driven overpricing. (C) 2018 Elsevier B.V. All rights reserved.
机译：我们估计了个别股票的极端负回报（崩溃）的事前概率，作为衡量潜在超额定价的指标，并且发现崩溃可能性很大的股票获得了异常低的回报。无论机构所有权水平或投资者情绪变化如何，具有高崩溃概率的股票都被高估，而且，它们的机构需求不断增长，直到其价格达到高估峰值为止。我们还发现，那些具有高崩溃概率股票的机构投资者比其他机构的投资者表现要好，这表明他们具有把握单个股票泡沫和崩溃的技巧。我们的研究结果表明，经验丰富的投资者可能并不总是会反对定价错误，而是会花时间纠正定价过高的情况，并表明，我们发现的崩盘效应可能至少部分源于理性投机泡沫，而并非完全源于情绪驱动的定价过高。 （C）2018 Elsevier B.V.保留所有权利。

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