This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such...

The Nature of Manias, Bubbles and Crashes: Introduction -- Value Trading vs. Momentum Trading -- The Rise of Manias and Bubbles -- Stages in the Boom-Bubble-Bust Sequence -- Fueling the Boom - Role of the Media -- Bubbles, Wealth and Inflation -- Speculations, Bootstraps and Swindles -- The...

Extreme events in financial markets can arise from fundamental information, but they can also arise from latent hazards embedded in the market design. This is systemic risk and somebody bears this risk. These events add to risk and their probability and severity must be accounted for by market...

This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when trading constraints are more binding. Systemic...