In this paper we study the formation of financial bubbles in the valuation of defaultable claims in a reduced-form setting. The birth of a bubble is caused by the impact of trading activity of investors, who consider the claim to be a safe investment under some circumstances. We also show how microeconomic interactions may, at an aggregate level, determine a shift in the martingale measure. In this way we establish a connection between our approach and the martingale theory of bubbles; see [F. Biagini, H. Föllmer, and S. Nedelcu, Finance Stoch., 18 (2014), pp. 297--326] and [R. Jarrow, P. Protter, and K. Shimbo, Math. Finance, 20 (2010), pp. 145--185]. This is illustrated by a characterization of the space of equivalent local martingale measures by measure pasting. Furthermore, our model is consistent with the no-arbitrage framework, as we show in a concrete example.