@article{91d21c7448754bee8dd7be2b7b68c663,
title = "Speculative investor behavior and learning",
abstract = "As traders learn about the true distribution of some asset's dividends, a speculative premium occurs as each trader anticipates the possibility of reselling the asset to another trader before complete learning has occurred. Small differences in prior beliefs lead to large speculative premiums during the learning process. This phenomenon helps explain a paradox concerning the pricing of initial public offerings. The result casts light on the significance of the common prior assumption in economic models.",
author = "Stephen Morris",
note = "Funding Information: *An earlier version of this paper was circulated under the title {"}Price Bubbles and Learning{"} as University of Cambridge Economic Theory Discussion Paper No. 191. I gratefully acknowledge financial support from an ESRC research grant (R000232865) and an EEC contract (SPESCT910057) to visit Cambridge. I am grateful to Luis Cubeddu and Jonathan Heathcote for expertly performing the numerical simulations reported in Section N. I would like to thank Franklin Allen, Jayasri Dutta, David Easley, Larry Epstein, Gerald Faulhaber, Frank Hahn, Atsushi Kajii, Andrew Postlewaite, Jose-Victor Rios-Rull, and Ruilin Zhou for valuable discussions; James Peck, Andrei Shleifer, and an anonymous referee for detailed and helpful suggestions on revising the paper; and Dean Foster for the idea of Theorem 1 and Example 3.",
year = "1996",
month = nov,
doi = "10.2307/2946709",
language = "English (US)",
volume = "111",
pages = "1111--1133",
journal = "Quarterly Journal of Economics",
issn = "0033-5533",
publisher = "Oxford University Press",
number = "4",
}