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Learning, Rare Events, and Recurrent Market Crashes in Frictionless Economies without Intrinsic Uncertainty

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  • Sandroni, Alvaro
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    File URL: http://www.sciencedirect.com/science/article/B6WJ3-45J5B56-T/2/84ec55b26aecfbc60014bbb1c460a8c1
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Theory.

    Volume (Year): 82 (1998)
    Issue (Month): 1 (September)
    Pages: 1-18

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    Handle: RePEc:eee:jetheo:v:82:y:1998:i:1:p:1-18

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    Web page: http://www.elsevier.com/locate/inca/622869

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    1. Morris, Stephen, 1996. "Speculative Investor Behavior and Learning," The Quarterly Journal of Economics, MIT Press, vol. 111(4), pages 1111-33, November.
    2. Cass, David & Shell, Karl, 1983. "Do Sunspots Matter?," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 193-227, April.
    3. Gerard Gennotte and Hayne Leland., 1989. "Market Liquidity, Hedging and Crashes," Research Program in Finance Working Papers RPF-184, University of California at Berkeley.
    4. Caplin, A. & Leahy, J., 1992. "Business as Usual, Market Crashes and Wisdom After the Fact," Discussion Papers 1992_18, Columbia University, Department of Economics.
    5. Spear, Stephen E. & Srivastava, Sanjay & Woodford, Michael, 1990. "Indeterminacy of stationary equilibrium in stochastic overlapping generations models," Journal of Economic Theory, Elsevier, vol. 50(2), pages 265-284, April.
    6. Nyarko, Yaw, 1991. "Learning in mis-specified models and the possibility of cycles," Journal of Economic Theory, Elsevier, vol. 55(2), pages 416-427, December.
    7. Lehrer, Ehud & Smorodinsky, Rann, 1997. "Repeated Large Games with Incomplete Information," Games and Economic Behavior, Elsevier, vol. 18(1), pages 116-134, January.
    8. Paul Milgrom & Nancy L.Stokey, 1979. "Information, Trade, and Common Knowledge," Discussion Papers 377R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. Manuelli, Rodolfo & Peck, James, 1992. "Sunspot-like effects of random endowments," Journal of Economic Dynamics and Control, Elsevier, vol. 16(2), pages 193-206, April.
    10. Madrigal, Vicente & Scheinkman, Jose A., 1997. "Price Crashes, Information Aggregation, and Market-Making," Journal of Economic Theory, Elsevier, vol. 75(1), pages 16-63, July.
    11. Ehud Kalai & Ehud Lehrer, 1992. "Weak and Strong Merging of Opinions," Discussion Papers 983, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    12. Jacklin, Charles J & Kleidon, Allan W & Pfleiderer, Paul, 1992. "Underestimation of Portfolio Insurance and the Crash of October 1987," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 35-63.
    13. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
    14. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    15. Harrison, J Michael & Kreps, David M, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, MIT Press, vol. 92(2), pages 323-36, May.
    16. Kurz, Mordecai, 1994. "On the Structure and Diversity of Rational Beliefs," Economic Theory, Springer, vol. 4(6), pages 877-900, October.
    17. Timmermann, Allan G, 1993. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 1135-45, November.
    18. Morris, Stephen, 1995. "The Common Prior Assumption in Economic Theory," Economics and Philosophy, Cambridge University Press, vol. 11(02), pages 227-253, October.
    19. Romer, David, 1993. "Rational Asset-Price Movements without News," American Economic Review, American Economic Association, vol. 83(5), pages 1112-30, December.
    20. Sandroni, Alvaro, 1998. "Necessary and Sufficient Conditions for Convergence to Nash Equilibrium: The Almost Absolute Continuity Hypothesis," Games and Economic Behavior, Elsevier, vol. 22(1), pages 121-147, January.
    21. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
    22. Manuel S. Santos & Michael Woodford, 1993. "Rational Asset Pricing Bubbles," Working Papers 9304, Centro de Investigacion Economica, ITAM.
    23. Kandel, Eugene & Pearson, Neil D, 1995. "Differential Interpretation of Public Signals and Trade in Speculative Markets," Journal of Political Economy, University of Chicago Press, vol. 103(4), pages 831-72, August.
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    Cited by:
    1. Harras, Georges & Sornette, Didier, 2011. "How to grow a bubble: A model of myopic adapting agents," Journal of Economic Behavior & Organization, Elsevier, vol. 80(1), pages 137-152.
    2. Sandroni, Alvaro, 1999. "Asset prices and the distribution of wealth," Economics Letters, Elsevier, vol. 64(2), pages 203-207, August.
    3. Conlon, John R., 2003. "Hope springs eternal: learning and the stability of cooperation in short horizon repeated games," Journal of Economic Theory, Elsevier, vol. 112(1), pages 35-65, September.

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