Multidimensional Uncertainty and Herd Behavior in Financial Markets

American Economic Review

Volumn 88, Issue 4, 1998, Pages 724-748

  Avery, Christopher ^a   Zemsky, Peter ^b  

^a HARVARD UNIVERSITY   (United States)

^b INSEAD   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001660909     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (28)

1. Avery, Christopher and Zemsky, Peter. "Herding and Manipulation in a Financial Market." Mimeo, Harvard University, 1998.
2. Banerjee, Abhijit. "A Simple Model of Herd Behavior." Quarterly Journal of Economics, August 1992, 107 (3), pp. 797-818.
3. Bikhchandani, Sushil; Hirshleifer, David and Welch, Ivo. "A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades." Journal of Political Economy, October 1992, 100(5), pp. 992-1027.
4. Blume, Lawrence; Easley, David and O'Hara, Maureen. "Market Statistics and Technical Analysis: The Role of Volume." Journal of Finance, March 1994, 49(1), pp. 153-81.
5. Brown, David and Jennings, Robert. "On Technical Analysis." Review of Financial Studies, Winter 1989, 2(4), pp. 527-51.
6. Bulow, Jeremy and Klemperer, Paul. "Rational Frenzies and Crashes." Journal of Political Economy, February 1994, 102(1), pp. 1-24.
7. Caplin, Andrew and Leahy, John. "Sectoral Shocks, Learning and Aggregate Fluctuations." Review of Economic Studies, October 1993, 60(4), pp. 777-94.
8. _. "Business as Usual, Market Crashes and Wisdom After the Fact." American Economic Review, June 1994, 84(3), pp. 548-66.
9. Chamley, Christophe and Gale, Douglas. "Information Revelation and Strategic Delay in a Model of Investment." Econometrica, September 1992, 62(5), pp. 1065-86.
10. Devenow, Andrea and Welch, Ivo. "Rational Herding in Financial Economics." European Economic Review, April 1996, 40(3-5), pp. 603-15.
11. Easley, David and O'Hara, Maureen. "Time and the Process of Security Price Adjustment." Journal of Finance, June 1992, 47(2), pp. 576-605.
12. Geanakoplos, John. "Common Knowledge." Journal of Economic Perspectives, Fall 1992, 6(4), pp. 53-82.
13. Geanakoplos, John D. and Polemarchakis, Heraklis M. "We Can't Disagree Forever." Journal of Economic Theory, October 1982, 28(1), pp. 192-200.
14. Genotte, Gerard and Leland, Hayne. "Market Liquidity, Hedging and Crashes." American Economic Review, December 1990, 80(5), pp. 999-1021.
15. Glosten, Lawrence and Milgrom, Paul. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics, March 1985, 14(1), pp. 71-100.
16. Grossman, Sanford J. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies." Journal of Business, July 1988, 61(3), pp. 275-98.
17. Grossman, Sanford J. and Stiglitz, Joseph E. "On the Impossibility of Informationally Efficient Markets." American Economic Review, June 1980, 70(3), pp. 393-408.
18. Jacklin, Charles J.; Kleidon, Allen W. and Pfleiderer, Paul. "Underestimation of Portfolio Insurance and the Crash of October 1987." Review of Financial Studies, Spring 1992, 5(1), pp. 35-63.
19. Kirman, Alan. "Ants, Rationality and Recruitment." Quarterly Journal of Economics, February 1993, 108(1), pp. 137-56.
20. Kleidon, Allan W. "Market and Environmental Uncertainty," in Peter Newman, Murray Milgate, and John Eatwell, eds., The new Palgrave dictionary of money and finance. London: MacMillan, 1992, pp. 651-54.
21. Lee, In Ho. "Market Crashes and Informational Avalances." Mimeo, University of Southhampton, U.K., 1995.
22. Milgrom, Paul and Stokey, Nancy. "Information, Trade and Common Knowledge." Journal of Economic Theory, February 1982,26(1), pp. 17-27.
23. Romer, David. "Rational Asset-Price Movements Without News." American Economic Review, December 1993, 83(5), pp. 1112-30.
24. Shiller, Robert J. "Stock Prices and Social Dynamics." Brookings Papers on Economic Activity, 1984, (2), pp. 457-98.
25. _. Market volatility. Cambridge, MA: MIT Press, 1989.
26. Shleifer, Andrei and Summers, Lawrence H. "The Noise Trader Approach to Finance." Journal of Economic Perspectives, Spring 1990, 4(2), pp. 19-34.
27. Vives, Xavier. "The Speed of Information Revelation in a Financial Market Mechanism." Journal of Economic Theory, October 1995, 67(1), pp. 178-204.
28. _. "Learning from Others: A Welfare Analysis." Games and Economic Behavior, August 1997, 20 (2), pp. 177-200.