Financial leverage and market volatility with diverse beliefs
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Cites work
- Asset price volatility and trading volume with rational beliefs
- Competitive Speculation
- Diverse beliefs and time variability of risk premia
- Endogenous uncertainty in a general equilibrium model with price contingent contracts
- Existence of Competitive Equilibria in Markets with a Continuum of Traders
- Markets with a Continuum of Traders
- On the structure and diversity of rational beliefs
- Speculative Investor Behavior and Learning
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- Speculative trading with rational beliefs and endogenous uncertainty
Cited in
(18)- The limits of leverage
- Impacts of leveraged trading and liquidity commonality on decline of stock price
- The impact of financial leverage on risk of equity measured by loss-oriented risk measures: an option pricing approach
- Leverage effect breakdowns and flight from risky assets
- Margin borrowing, stock returns, and market volatility: evidence from margin credit balance
- Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions*
- Why does bad news increase volatility and decrease leverage?
- The effects of dependent beliefs on endogenous leverage
- Business cycle amplification with heterogeneous expectations
- Monetary policy and heterogeneous expectations
- The diversity of forecasts from macroeconomic models of the US economy
- Why can margin requirements increase volatility and benefit margin constrained investors?
- Effects of financial innovations on market volatility when beliefs are heterogeneous
- Expectational coordination in simple economic contexts. Concepts and analysis with emphasis on strategic substituabilities
- Leverage causes fat tails and clustered volatility
- The role of the leverage effect in the price discovery process of credit markets
- Diverse beliefs and time variability of risk premia
- Welfare effects of short-sale constraints under heterogeneous beliefs
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