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Assurance et couverture de portefeuille, volatilité des prix et stabilité des marchés financiers : les enseignements de trois modèles théoriques
Charléty, Patricia - In: Revue économique : revue bimestrielle 48 (1997) 4, pp. 853-868
Persistent link: https://www.econbiz.de/10001222556
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Imperfect knowledge, liquidity and bubbles
Branch, William A. - In: Journal of economic dynamics & control 62 (2016), pp. 17-42
Persistent link: https://www.econbiz.de/10011708143
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On the existence and prevention of speculative bubbles
Enders, Zeno; Hakenes, Hendrik - 2014
We develop a parsimonious model of bubbles based on the assumption of imprecisely known market depth. In a speculative bubble, traders drive the price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously unknown date, the...
Persistent link: https://www.econbiz.de/10010393456
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Low margins, derivative securities, and volatility
Gennotte, Gerard; Leland, Hayne Ellis - 1993
Persistent link: https://www.econbiz.de/10000859587
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Public information and uninformed trading : implications for market liquidity and price efficiency
Han, Bing; Tang, Ya; Yang, Liyan - In: Journal of economic theory 163 (2016), pp. 604-643
Persistent link: https://www.econbiz.de/10011593469
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Price and liquidity spillovers during fire sale episodes
Honkanen, Pekka; Schmidt, Daniel - 2017
liquidity and are not explained by common funding shocks or the hedging activity of liquidity providers. We conclude that they …We study price and liquidity spillovers in U.S. stock markets around mutual fund fire sales. We find that the well … the commonality in returns and liquidity …
Persistent link: https://www.econbiz.de/10011951311
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Towards a general theory of the stock market
Fender, John - 2015
Persistent link: https://www.econbiz.de/10011389962
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Bubbles tomorrow and bubbles yesterday, but never bubbles today?
Williams, John C. - In: Business economics : the journal of the National … 48 (2013) 4, pp. 224-230
Persistent link: https://www.econbiz.de/10010350602
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Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives
Santini, Amia - 2022
1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions.
Persistent link: https://www.econbiz.de/10013192353
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Modeling of stock returns in continuous vis-à-vis discrete time is equivalent, respectively, to the conditioning of stock returns on a random walk process for trade imbalances vis-...
Obrimah, Oghenovo Adewale; Wong, Wing Keung - In: Annals of financial economics 17 (2022) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10013262988