关键词: 价格泡沫, 过度反应, 新信息, 价格信息量, 理性预期均衡

Abstract: Asset price bubbles burst occasionally in security market. The well-known tulip bubble in the Netherlands, the Mississippi bubble in France and the South Sea bubble in the UK impress the word profoundly to this day. With bubble in asset price, learning information from asset price gets less effective for investors, which gives rise to investors' incorrect investment strategy, inefficient capital flows in security market and consequently reduces market stability and disturbs the market's role of efficient resource allocation. So, lots of researchers try to explain price bubble from trading volume, return, turnover etc. based on Efficient-Markets Hypothesis. However, most of them are not as persuasive due to the imperfection of Efficient-Markets Hypothesis. Meanwhile, some researchers turn to overreaction theory in behavioral finance to analyze this anomaly. Overreaction theory documents that investors overreact to some news or information due to cognitive and emotional biases. For example, investors overvalue immediate information while attach less importance on the previous information. In addition, most of these researches examine price bubble by empirical analysis, but scarcely focus on the relation between overreaction and price bubble in framework of microstructure theory.
Taking into account information delay hypothesis, a two-period model is built to analyze relations between investors' overreaction and price bubble within rational expectation framework. In this model, early-informed investors observe a piece of private information on the fundamental value of the traded asset as well as learn information from price in the first round. In the second period, public information is disclosed and the early-informed investors and late-informed investors both overreact to this public information, that is, they overweight public information relative to their own private information.
Firstly, with exogenous information acquisition, it is found that the informed investors' overreaction to the public information has no influence on the price informativeness in the first period but increases the price informativeness in the second round. On the other hand, with endogenous information acquisition, overreaction to the public information decreases the mass of investors who become early-informed and thus reduces the price informativeness in the first period and so price bubble generates. In this case, market liquidity might experience a u-shaped change across periods. When new information arrives in the second period, the price informativeness is promoted but still smaller than that with exogenous information acquisition. That implies less private information is incorporated into the price, and the price deviates from the intrinsic value severely. As a result, resources and capital flows are allocated inefficiently across the market and market stability is adversely affected.
For the regulators, there are two effective ways to get rid of the anomaly of price bubble. One is lowering cost of information acquisition and disclosing more information that can increase the expected utility of informed investors and thereby attract more investors to become informed. The other one is weakening the extent of investors' overreaction. With less aggressive overreaction, more private information can be incorporated into the price and consequently enhances price informativeness. Therefore, our paper supports the regulation of reinforcing information disclosure and weakening investor bias in the financial market.

Key words: price bubble, overreaction, new information, price informativeness, rational expectation equilibrium