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Loss aversion and market crashes
This study proposes a rational expectation equilibrium model of stock market crashes with information asymmetry and loss averse speculators. We obtain a state-dependent linear optimal trading strategy, which makes the equilibrium price tractable. The model predicts nonlinear market depth and the res...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier B.V.
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7338884/ https://www.ncbi.nlm.nih.gov/pubmed/32834333 http://dx.doi.org/10.1016/j.econmod.2020.06.015 |