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Cambridge Finance Workshop - Qiusha Peng

Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
When Nov 12, 2015
from 01:00 PM to 02:00 PM
Where Room W4.03, Cambridge Judge Business School
Contact Name
Contact Phone 01223768129
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Qiusha Peng, CJBS, CERF Post Doc
Interests: Macroeconomics, Theory, Finance
Noisy Rational Bubbles
Abstract: This paper develops a novel theory of price dynamics during bubble-like episodes in a tractable noisy rational expectations model with endogenous investor inflows. The unique linear partially revealing rational expectations equilibrium features a dramatic non-fundamental rise and fall of asset prices driven by speculation. Two layers of uncertainty---uncertainty about the fundamental value and uncertainty regarding the probability with which the fundamental value is fully revealed in each period, can generate the hump shape in prices. Gradual investor inflows can greatly amplify price movements. Simulation results show that the model equilibrium can produce various real-life bubble-like events.

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