Why does bad news increase volatility and decrease leverage?
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Publication:413491
DOI10.1016/J.JET.2011.07.001zbMATH Open1258.91100OpenAlexW3124368864MaRDI QIDQ413491FDOQ413491
Authors: Ana Fostel, John D. Geanakoplos 
Publication date: 7 May 2012
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=24197
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Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Financial applications of other theories (91G80)
Cites Work
- Post-'87 crash fears in the S\&P 500 futures option market
- The Impact of Uncertainty Shocks
- Regulating collateral-requirements when markets are incomplete
- Why does bad news increase volatility and decrease leverage?
- Collateral restrictions and liquidity under-supply: a simple model
- Viable prices in financial markets with solvency constraints
Cited In (10)
- Introduction to general equilibrium
- Financial leverage and market volatility with diverse beliefs
- Endogenous leverage and asset pricing in double auctions
- Partially revealing rational expectations equilibrium with real assets and binding constraints
- Collateral equilibrium. I: A basic framework
- Why does bad news increase volatility and decrease leverage?
- The effects of dependent beliefs on endogenous leverage
- Debt collateralization, capital structure, and maximal leverage
- Collateral constraints, tranching, and price bases
- Collateralized borrowing and increasing risk
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