Liquidity and Financial Market Runs
AbstractWe model a run on a financial market, in which each risk-neutral investor fears having to liquidate shares after a run, but before prices can recover back to fundamental values. To avoid having to possibly liquidate shares at the marginal post-run price - in which case the risk-averse market-making sector wi
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm280.
Date of creation: 01 Jul 2006
Date of revision: 01 Aug 2003
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