Equilibrium theory of stock market crashes

DOI10.1016/J.JEDC.2015.08.004zbMATH Open1401.91583OpenAlexW3121397555MaRDI QIDQ1657461FDOQ1657461

Authors: Sergey Isaenko 

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.08.004

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zbMATH Keywords

transaction costsgeneral equilibriumliquidityfinancial crisis

Mathematics Subject Classification ID

General equilibrium theory (91B50) Financial applications of other theories (91G80)

Cites Work

• Over-the-Counter Markets
• Crises and liquidity in over-the-counter markets
• Liquidity premia in dynamic bargaining markets
• The cost of illiquidity and its effects on hedging
• Search and endogenous concentration of liquidity in asset markets
• A model of capital and crises
• Liquidity shocks and equilibrium liquidity premia.
• Portfolio choice under transitory price impact

Cited In (8)

• Title not available (Why is that?)
• Investors' interacting demand and supply curves for common stocks
• Liquidity premium in the presence of stock market crises and background risk
• Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
• Rational panics and stock market crashes.
• Time-varying crash risk embedded in index options: the role of stock market liquidity
• Large Bets and Stock Market Crashes
• Slow-moving capital and stock returns

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