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An Equilibrium Model of the Crash

In: NBER Macroeconomics Annual 1988, Volume 3

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  • Fischer Black
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    This chapter was published in:

  • Stanley Fischer, 1988. "NBER Macroeconomics Annual 1988, Volume 3," NBER Books, National Bureau of Economic Research, Inc, number fisc88-1, October.
    This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 10956.

    Handle: RePEc:nbr:nberch:10956

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Robert J. Shiller, 1987. "Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence," NBER Working Papers 2446, National Bureau of Economic Research, Inc.
    2. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers, University of California at Berkeley 95, University of California at Berkeley.
    3. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 246-73, April.
    4. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 3-29, September.
    5. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1987. "The Economic Consequences of Noise Traders," NBER Working Papers 2395, National Bureau of Economic Research, Inc.
    6. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
    7. Robert Shiller, 1988. "Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 287-297 National Bureau of Economic Research, Inc.
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    Cited by:
    1. M. Zouaoui & G. Nouyrigat & F. Beer, 2010. "How does investor sentiment affect stock market crises? Evidence from panel data," Post-Print halshs-00534754, HAL.
    2. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers, Reserve Bank of Australia rdp9501, Reserve Bank of Australia.
    3. Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(5), pages 313-322, December.
    4. Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(19), pages 4417-4428.
    5. McKenzie, Michael D. & Kim, Suk-Joong, 2007. "Evidence of an asymmetry in the relationship between volatility and autocorrelation," International Review of Financial Analysis, Elsevier, Elsevier, vol. 16(1), pages 22-40.
    6. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
    7. Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
    8. Mohamed Zouaoui & Geneviève Nouyrigat & Francisca Beer, 2011. "How does investor sentiment affect stock market crises?Evidence from panel data," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations 1110304, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    9. Georgakopoulos, Nicholas L., 1996. "Why should disclosure rules subsidize informed traders?," International Review of Law and Economics, Elsevier, Elsevier, vol. 16(4), pages 417-431, December.

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