Rational panics and stock market crashes

被引：110

作者：

Barlevy, G

Veronesi, P

机构：

[1] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA

[2] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA

来源：

JOURNAL OF ECONOMIC THEORY | 2003年 / 110卷 / 02期

关键词：

information effect; asymmetric information; crashes;

D O I：

10.1016/S0022-0531(03)00039-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper offers an explanation for stock market crashes which focuses on the role of rational but uninformed traders. We show that uninformed traders can precipitate a price crash because as prices decline, they surmise that informed traders received negative information, which leads them to reduce their demand for assets and drive the price of stocks even lower. The model yields several implications, such as that crashes can occur even when the fundamentals are strong, and that the magnitude of the crash depends on the fraction of uninformed investors and the amount of unsophisticated passive investing present in the market. (C) 2003 Elsevier Science (USA). All rights reserved.

引用

页码：234 / 263

页数：30