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Rational panics and stock market crashes

  • Barlevy, Gadi
  • Veronesi, Pietro

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File URL: http://www.sciencedirect.com/science/article/B6WJ3-48R1JDY-3/2/8bcfb3a0404a7ad1923c817f396db329
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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 110 (2003)
Issue (Month): 2 (June)
Pages: 234-263

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Handle: RePEc:eee:jetheo:v:110:y:2003:i:2:p:234-263
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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  1. Joseph Zeira, 2000. "Informational overshooting, booms and crashes," Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
  2. Gennotte, Gerard & Leland, Hayne, 1990. "Market Liquidity, Hedging, and Crashes," American Economic Review, American Economic Association, vol. 80(5), pages 999-1021, December.
  3. David Romer, 1992. "Rational Asset Price Movements Without News," NBER Working Papers 4121, National Bureau of Economic Research, Inc.
  4. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  5. Jeremy Bulow & Paul Klemperer, 1991. "Rational Frenzies and Crashes," NBER Technical Working Papers 0112, National Bureau of Economic Research, Inc.
  6. Sanford Grossman, 1978. "Further results on the informational efficiency of competitive stock markets," Special Studies Papers 114, Board of Governors of the Federal Reserve System (U.S.).
  7. Caplin, Andrew & Leahy, John, 1994. "Business as Usual, Market Crashes, and Wisdom after the Fact," American Economic Review, American Economic Association, vol. 84(3), pages 548-65, June.
  8. Admati, Anat R, 1985. "A Noisy Rational Expectations Equilibrium for Multi-asset Securities Markets," Econometrica, Econometric Society, vol. 53(3), pages 629-57, May.
  9. Lee, In Ho, 1998. "Market Crashes and Informational Avalanches," Review of Economic Studies, Wiley Blackwell, vol. 65(4), pages 741-59, October.
  10. Allen, F. & Gorton, G., 1991. "Stock Price Manipulation, Market Microstructure and Asymetric Information," Weiss Center Working Papers 21-91, Wharton School - Weiss Center for International Financial Research.
  11. Laffont, Jean-Jacques & Maskin, Eric S, 1990. "The Efficient Market Hypothesis and Insider Trading on the Stock Market," Journal of Political Economy, University of Chicago Press, vol. 98(1), pages 70-93, February.
  12. 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.
  13. Wilson, Charles A, 1979. "Equilibrium and Adverse Selection," American Economic Review, American Economic Association, vol. 69(2), pages 313-17, May.
  14. 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.
  15. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  16. Wang, Jiang, 1993. "A Model of Intertemporal Asset Prices under Asymmetric Information," Review of Economic Studies, Wiley Blackwell, vol. 60(2), pages 249-82, April.
  17. Kraus, Alan & Smith, Maxwell, 1989. " Market Created Risk," Journal of Finance, American Finance Association, vol. 44(3), pages 557-69, July.
  18. Gadi Barlevy & Pietro Veronesi, . "Information Acquisition in Financial Markets," CRSP working papers 360, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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