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Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash

In: NBER Macroeconomics Annual 1988, Volume 3

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  • Robert Shiller

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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 10958.

    Handle: RePEc:nbr:nberch:10958

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    References

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    1. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 195-213, June.
    2. Smith, Vernon L & Suchanek, Gerry L & Williams, Arlington W, 1988. "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica, Econometric Society, Econometric Society, vol. 56(5), pages 1119-51, September.
    3. 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.
    4. 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.
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    Cited by:
    1. 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.
    2. Fischer Black, 1988. "An Equilibrium Model of the Crash," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 269-276 National Bureau of Economic Research, Inc.
    3. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 105(431), pages 881-96, July.
    4. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents, Nobel Prize Committee 2013-1, Nobel Prize Committee.

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