Formação de bolhas especulativas no mercado de ações : uma análise a partir da economia da informação

• Ano de defesa: 2018
• Autor(a) principal: Nunes, Homero Santos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal do Espírito Santo; BR; Mestrado em Economia; Centro de Ciências Jurídicas e Econômicas; UFES; Programa de Pós-Graduação em Economia
• Palavras-chave em Português: Efficient markets; Rational expectations; pareto optimum; information economics; paradox of efficient markets; information asymmetry; moral hazard; speculative bubbles; CAPM; Expectativas racionais; Ótimo de Pareto; bolhas especulativas; economia da informação; paradoxo dos mercados eficientes; assimetria de informações; Risco moral; Mercado financeiro; Assimetrias da informação; Mercados eficientes; Especulação (Finanças); Modelo de precificação de ativos; Teoria Econômica; 330
• Link de acesso: http://repositorio.ufes.br/handle/10/10861

This work aims at the investigation and theorization of the formation of speculative bubbles in the stock market based on works of the information economics, in counterpoint to the orthodox economics of rational expectations and efficient markets. It is believed that there are fundamental flaws in orthodox theory, such flaws will be presented and discussed. A secondary objective will be the development of its own financial cycle model. A model that allows exposing the causes and consequences of financial valuation movements. It is believed that changes in expectations and information asymmetry are the basis for meaning cyclical financial movements. The method used is a bibliographic review, this is a theoretical work. In chapter 2 the orthodox theory of speculative bubbles is presented, its main hypotheses are discussed, namely rational expectations, efficient markets, perfect and complete information to all agents of the economy, ergodicity and the optimum Pareto equilibrium, and the works of Eugene Fama; Lucas and Sargente; Malkiel, among others are discussed. In Chapter 3 the theory of the information economics is presented regarding the speculative process as opposed to the orthodox theory. This work champions the propositions of the authors cited in chapter 3 as Stiglitz, Orlean and Herscovici. Finally in chapter 4 it is shown that orthodox economics denies speculative finance, since it is incompatible with the results of orthodoxy. Therefore, the information economics is better suited to the study and analysis of speculative bubbles. Based on Minsky and Krugman it is explored further that financial leverage and moral hazard are important aspects of the speculation debate. In this sense the shocks and the formation of the speculative bubbles are endogenous processes, an opposite approach to the exogenous shocks of the mainstream. It is also shown that the information economy and the behavioral economy become farther away from to the mainstream. It is expected that the primary objective is achieved by demonstrating that there is complete incompatibility between efficient markets; rational expectations; the efficient price system, and the Pareto optimum equilibrium, such a demonstration forms the paradox of Stiglitz's efficient markets.