Rational panics and stock market crashes.

DOI10.1016/S0022-0531(03)00039-5zbMath1042.91033OpenAlexW3125828629MaRDI QIDQ1399553

Gadi Barlevy, Pietro Veronesi

Publication date: 30 July 2003

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0022-0531(03)00039-5

zbMATH Keywords

asymmetric informationcrashesinformation effect

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Related Items (10)

Insider trading and the short-swing profit rule ⋮ The pricing effects of ambiguous private information ⋮ Stock market crashes and dynamics of aftershocks ⋮ A model of financial pyramid with quasi-rational participants ⋮ A model of regret, investor behavior, and market turbulence ⋮ A simple model for market booms and crashes ⋮ Multiplicity in general financial equilibrium with portfolio constraints ⋮ The time cost of information in financial markets ⋮ Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility ⋮ Conflict without an apparent cause

Cites Work

• Further results on the informational efficiency of competitive stock markets
• Price crashes, information aggregation, and market-making
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Continuous Auctions and Insider Trading
• Market Crashes and Informational Avalanches
• Information Acquisition in Financial Markets
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Unnamed Item

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