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
Year of publication: |
2006-07-01
|
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Authors: | Bernardo, Antonio ; Welch, Ivo |
Institutions: | School of Management, Yale University |
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