A long period of elevated asset valuation raises some fundamental questions. How can assets sustain prices way above their fundamental value for extended periods of time? Why are investors willing to bid up expensive assets? The authors show that for an expensive asset to sustain its valuation, the probability of further price increases must be high. Currency and equity option markets provide evidence. They also show that asset managers might have incentives to go long expensive assets if their prices are more likely to increase. Furthermore, the presence of return-chasing investors could drive prices above their value. TOPICS: Options, equity portfolio management, currency Key Findings • For an expensive asset to sustain its valuation, the probability of further price increases must be high. • Because expensive assets are likely to become more expensive, asset managers might have incentives to go long rather than short them. • The presence of momentum and value investors could explain the life cycle of a bubble.

中文翻译：

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疯狂方法：泡沫，交易和激励

长期提高资产估值会引发一些基本问题。资产如何在较长时间内将价格维持在高于其基本价值的水平？为什么投资者愿意出价昂贵的资产？作者表明，要使昂贵的资产维持其估值，价格进一步上涨的可能性必须很高。货币和股票期权市场提供了证据。他们还表明，如果资产经理的价格更有可能上涨，他们可能会诱使他们去做长的昂贵资产。此外，追逐回酬的投资者的存在可能使价格高于其价值。主题：期权，股票投资组合管理，货币主要发现•要使昂贵的资产维持其估值，价格进一步上涨的可能性必须很高。•由于昂贵的资产可能会变得更昂贵，因此资产管理人可能有动机做多而不是做空。•动量和价值投资者的存在可以解释泡沫的生命周期。