Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...

The principles of behavioral psychology can explain how crashes occur. In particular, the concept of "stimulus generalization" tells us that organisms tend to respond in the same way to similar stimuli. In a crash, or pre-crash, context, several stimuli - including rising prices, above-average...

Australian Steve Keen was, in fact, one of just 13 registered economists , out of a global total of around 36,000 (yes that really comes out as 0.04%), who actually anticipated the global financial crisis.Knowing this, I think it’s almost impossible not to want to read his latest book,...

Using a new daily dataset for all stocks traded on the New York Stock Exchange between 1905 and 1910, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the market...

This article explains the impacts of Dubai Crisis (DC) on the United Arab Emirates (UAE), the wider Gulf region and at international level. It also extensively examines the differences and similarities between Dubai Crisis and the Global Financial Crisis (GFC). This examination includes studying...

There has been considerable finger pointing since the Crash of 1987, much of it devoted to the tail wagging the dog idea. This concept may be typical of many that will influence regulators and exchanges as they decide what new measures to adopt to prevent another Crash. It is wrong, and it...

We study investor overreaction using data for five major stock market crashes during the 1987-2008 period. We find some evidence of investor overreaction in all five stock market crashes. The prices of stocks investors bid down more than the average during crashes tend to increase more than the...

Using a new daily dataset for all stocks traded on the New York Stock Exchange between 1905 and 1910, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the market...

We study price discovery during the liquidity freeze of September 2008, when fundamental values were difficult to be assessed. We find that trading volume and trade size significantly increased two days before the public announcement of Lehman's lethal quarter loss. Nevertheless, informational...

The risks to global financial stability posed by recent defaults by government borrowers have, for the most part, been manageable. However, the dynamics underpinning the ad hoc arrangements for resolving sovereign defaults are changing. Public debt burdens in many advanced economies are set to...