Liquidity and Financial Market Runs
We 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
|Date of creation:||01 Jul 2006|
|Date of revision:||01 Aug 2003|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
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- De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets,"
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