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A Note on Synchronization Risk and Delayed Arbitrage

Author

Listed:
  • Hideaki Sakawa

    (Graduate School of Economics, Osaka University)

  • Naoki Watanabel

    (Osaka school of International Public Policy)

Abstract

This note reexamines Abreu and Brunnermeier's (2003) analysis of a bubble that persists towards synchronization risk. We find that a certain condition that usually does not hold is required for the existence of synchronization risk.

Suggested Citation

  • Hideaki Sakawa & Naoki Watanabel, 2006. "A Note on Synchronization Risk and Delayed Arbitrage," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-12.
    • Handle: RePEc:ebl:ecbull:eb-06g10029
    as

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    File URL: http://www.accessecon.com/pubs/EB/2006/Volume7/EB-06G10029A.pdf
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    References listed on IDEAS

    as
    1. Chamley,Christophe P., 2004. "Rational Herds," Cambridge Books, Cambridge University Press, number 9780521530927, October.
    2. Chamley,Christophe P., 2004. "Rational Herds," Cambridge Books, Cambridge University Press, number 9780521824019, October.
    3. Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360.
    4. Blanchard, Olivier Jean, 1979. "Speculative bubbles, crashes and rational expectations," Economics Letters, Elsevier, vol. 3(4), pages 387-389.
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    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G0 - Financial Economics - - General

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