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A Sufficient Condition for Synchronization Risk and Delayed Arbitrage

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  • Hideaki Sakawa
  • Naoki Watanabel

Abstract

This paper examines the sufficient condition for the existence of synchronization risk as defined in Abreu and Brunnermeier (2003). Using a numerical example, it shows that there is an upper bound to the selling threshold for bubble bursting. This implies that the selling threshold stipulated as an exogenous variable in Abreu and Brunnermeier (2003) should instead be treated endogenously.

Suggested Citation

  • Hideaki Sakawa & Naoki Watanabel, 2009. "A Sufficient Condition for Synchronization Risk and Delayed Arbitrage," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 40-46, June.
  • Handle: RePEc:icf:icfjfe:v:07:y:2009:i:2:p:40-46
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