Bubbles and crashes

Econometrica

Volumn 71, Issue 1, 2003, Pages 173-204

  Abreu, Dilip ^a   Brunnermeir, Markus K ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Behavioral finance; Bubbles; Crashes; Limits to arbitrage; Market timing; Overreaction; Synchronization; Temporal coordination

Indexed keywords

FINANCE; MARKETING; PROBLEM SOLVING; SYNCHRONIZATION;

MARKET TIMING; TEMPORAL COORDINATION;

MATHEMATICAL MODELS;

EID: 0037276441     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00393     Document Type: Article

References (27)

1. Abreu, D., and M. K. Brunnermeier (2001): "Bubbles and Crashes," Working Papers in Economic Theory 01F3, Princeton University.
2. ____ (2002): "Synchronization Risk and Delayed Arbitrage," Journal of Financial Economics, forthcoming.
3. Allen, F., and G. Gorton (1993): "Churning Bubbles," Review of Economic Studies, 60, 813-836.
4. Allen, F., S. Morris, and A. Postlewaite (1993): "Finite Bubbles with Short Sale Constraints and Asymmetric Information," Journal of Economic Theory, 61, 206-229.
5. Brunnermeier, M. K. (2001): Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis and Herding. Oxford: Oxford University Press.
6. Brunnermeier, M. K., and S. Nagel (2002): "Arbitrage at its Limits: Hedge Funds and the Technology Bubble," Mimeo, Princeton University.
7. Carlsson, H., and E. van Damme (1993): "Global Games and Equilibrium Selection," Econometrica, 61, 989-1018.
8. Daniel, K., D. Hirshleifer, and A. Subrahmanyam (1998): "Investor Psychology and Security Market Under- and Overreaction," Journal of Finance, 53, 1839-1885.
9. DeLong, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann (1990a): "Noise Trader Risk in Financial Markets," Journal of Political Economy, 98, 703-738.
10. ____ (1990b): "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, 45, 379-395.
11. Fama, E. F. (1965): "The Behavior of Stock-Market Prices," Journal of Business, 38, 34-105.
12. Halpern, J. Y., and Y. Moses (1990): "Knowledge and Common Knowledge in a Distributed Environment," Journal of the Association of Computing Machinery, 37, 549-587.
13. Hirshleifer, D. (2001): "Investor Psychology," Journal of Finance, 56, 1533-1597.
14. Keynes, J. M. (1936): The General Theory of Employment, Interest and Money. London: Macmillan.
15. Kindleberger, C. P. (1978): Manias, Panics and Crashes: A History of Financial Crises, 3rd edition, 1996. London: Macmillan.
16. Milgrom, P. R., and N. Stokey (1982): "Information, Trade and Common Knowledge," Journal of Economic Theory, 26, 17-27.
17. Morris, S. (1995): "Co-operation and Timing," CARESS Working Paper 95-05.
18. Morris, S., and H. Shin (1998): "Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks," American Economic Review, 88, 587-596.
19. Obstfeld, M. (1996): "Models of Currency Crises with Self-Fulfilling Features," European Economic Review, 40, 1037-1047.
20. Odean, T. (1998): "Volume, Volatility, Price and Profit When All Traders Are Above Average," Journal of Finance, 53, 1887-1934.
21. Rubinstein, A. (1989): "The Electronic Mail Game: Strategic Behavior Under Almost Common Knowledge," American Economic Review, 73, 225-244.
22. Santos, M. S., and M. Woodford (1997): "Rational Asset Pricing Bubbles," Econometrica, 65, 19-57.
23. Shiller, R. J. (2000): Irrational Exuberance. Princeton, New Jersey: Princeton University Press.
24. Shleifer, A. (2000): Inefficient Markets-An Introduction to Behavioral Finance. Oxford: Oxford University Press.
25. Shleifer, A., and R. W. Vishny (1997): "The Limits of Arbitrage," Journal of Finance, 52, 35-55.
26. Thaler, R. H. (1991): Quasi Rational Economics. New York, NY: Russell Sage Foundation.
27. Tirole, J. (1982): "On the Possibility of Speculation under Rational Expectations," Econometrica, 50, 1163-1182.