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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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    References listed on IDEAS

    as
    1. Chamley,Christophe P., 2004. "Rational Herds," Cambridge Books, Cambridge University Press, number 9780521530927.
    2. Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360.
    3. Chamley,Christophe P., 2004. "Rational Herds," Cambridge Books, Cambridge University Press, number 9780521824019.
    4. Blanchard, Olivier Jean, 1979. "Speculative bubbles, crashes and rational expectations," Economics Letters, Elsevier, vol. 3(4), pages 387-389.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

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

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