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An Equilibrium Model of the Crash

In: NBER Macroeconomics Annual 1988, Volume 3

  • 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
    Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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    1. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    2. 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.
    3. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers 95, University of California at Berkeley.
    4. 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.
    5. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
    6. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    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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