Add to ORKGA theory is developed that explains how stocks can crash without fundamental news and why crashes are more common than frenzies. A crash occurs via the interaction of rational and naive investors. Naive traders believe that prices follow a random walk with serially correlated volatility. Their expectations of future volatility are formed adaptively. When the market crashes, naive traders sell stock in response to the apparent increase in volatility. Since rational traders are risk averse as well, a lower price is needed to clear the market: the crash is a self-fulfilling prophecy. Frenzies cannot occur in this model.
The aim of this paper is to provide one potential theoretical explanation for questions how asset bu...
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explaine...
We study a rational expectation model of bubbles and crashes. The model has two components: (1) our ...
A theory is developed that explains how the stock market can crash in the absence of news about fund...
This paper presents a simple rational expectations model of intertemporal asset pricing. It shows th...
This paper analyzes the sensitivity of market crashes to investors' psychology in a standard general...
This paper analyzes the sensitivity of market crashes to investors'psychology in a standard general ...
We elicit traders ’ predictions of future price trajectories in repeated experimental markets for a ...
I develop a dynamic equilibrium model that incorporates incorrect beliefs about crash risk and use i...
The aim of this paper is to provide one potential theoretical explanation for questions how asset bu...
We study a rational expectation model of bubbles and crashes. The model has two components : (1) our...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practi...
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practi...
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explaine...
The aim of this paper is to provide one potential theoretical explanation for questions how asset bu...
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explaine...
We study a rational expectation model of bubbles and crashes. The model has two components: (1) our ...
A theory is developed that explains how the stock market can crash in the absence of news about fund...
This paper presents a simple rational expectations model of intertemporal asset pricing. It shows th...
This paper analyzes the sensitivity of market crashes to investors' psychology in a standard general...
This paper analyzes the sensitivity of market crashes to investors'psychology in a standard general ...
We elicit traders ’ predictions of future price trajectories in repeated experimental markets for a ...
I develop a dynamic equilibrium model that incorporates incorrect beliefs about crash risk and use i...
The aim of this paper is to provide one potential theoretical explanation for questions how asset bu...
We study a rational expectation model of bubbles and crashes. The model has two components : (1) our...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practi...
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practi...
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explaine...
The aim of this paper is to provide one potential theoretical explanation for questions how asset bu...
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explaine...
We study a rational expectation model of bubbles and crashes. The model has two components: (1) our ...