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A Sufficient Condition for Synchronization Risk and Delayed Arbitrage

Hideaki Sakawa () and Naoki Watanabel ()

The IUP Journal of Financial Economics, 2009, vol. VII, issue 2, 40-46

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.

Date: 2009
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Handle: RePEc:icf:icfjfe:v:07:y:2009:i:2:p:40-46