Why does bad news increase volatility and decrease leverage?
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Cites work
- Collateral restrictions and liquidity under-supply: a simple model
- Post-'87 crash fears in the S\&P 500 futures option market
- Regulating collateral-requirements when markets are incomplete
- The Impact of Uncertainty Shocks
- Viable prices in financial markets with solvency constraints
- Why does bad news increase volatility and decrease leverage?
Cited in
(12)- Endogenous leverage and asset pricing in double auctions
- The effects of dependent beliefs on endogenous leverage
- Debt collateralization, capital structure, and maximal leverage
- Partially revealing rational expectations equilibrium with real assets and binding constraints
- Collateral equilibrium. I: A basic framework
- Introduction to general equilibrium
- Why does bad news increase volatility and decrease leverage?
- Why can margin requirements increase volatility and benefit margin constrained investors?
- Volatility smirk as an externality of agency conflict and growing debt
- Collateralized borrowing and increasing risk
- Financial leverage and market volatility with diverse beliefs
- Collateral constraints, tranching, and price bases
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